Sasser ?
What is Sasser ?
This is a new worm that exploits the Local Security Authority Subsystems on most of the Microsoft OS(es) . There's been many variants reported, Click here for more information.
How to protect yourself ?
Make sure you patch your machine with MS04-011 asap, and refer - Protect Against Exploit Code Related to Security Bulletin MS04-011 for more detail on how to protect yourself further. If you are infected, use this tool to clean up. Piece of advise, you should always have a firewall in place whenever you connected to the Internet ! this is a hostile area that you must beware before somebody kick your as* :)
Why Windows Server 2003 not affected ?
Well, this is because the RPC interface for remote access has changed in W2k03, read this explanation by Micheal Howard.