I just want to clarify my last comments.
Actually, if you want to deploy DLP agent into the Windows 2003/2008 Server, you need some extra care to be taken with regards to what monitoring channels are used (ie. Local disk monitoring, copy to/from network) and file filters need to be implemented in order to limit performance impact.
For example, if you use the Windows 2003 Server as a iIntranet File Sharing Server, a best practice of deploying and using the DLP agent on this server is: install DLP agent, run a endpoint discover scan to find out where the confidentail data locate, enable to monitor the channels that these data maybe leak out, then create the policy according.