After a week of research on the web, I couldn't find an answer for my question, so I thought I'd post it here.
All you Windows Server 2003 GURUs out there, I'd appreciate your input in making this the definite thread for setting up Windows Server 2003 in one machine.

Like most of you, I do not have the money to run multiple servers, but I'd like to benefit from all the resorces in W2k3... So I have to run all the services in the same machine.
By the way, I have 5 available IP's I can use, and the computer is a DELL 1750 3.06GHz 1GB RAM.

**OBJECTIVE:**
Run AD IIS, Exchange, DNS and a VPN Server on the same machine.

This server will host multiple websites and run Exchange as well as the DNS servers for my domain.

**STEP ONE:**
First step as I was told was to register my own Name Servers.
I went online and found this article (and video) to be most helpful! Each registrar offers a different way to achieve this:
http://www.gemstream.com/support/name_server.html

After learning about this, I went on godaddy.com (my registrar, and created my name servers

NS1.MYDOMAIN.COM -> MY_DOMAINCONTROLLER_IP1
NS2.MYDOMAIN.CoM -> MY_DOMAINCONTROLLER_IP2

Then, Mike (Thanks Mike - see thread here: http://www.computing.net/windows2003/wwwboard/forum/2736.html) told me I could just add two hosts "NS1" and NS2" and point them both to the same IP address of my server (domain controller)
So I guess that makes them "virtual" because I won't actually need two additional machines to handle Name Service.

Great, this alone took me a couple of days to learn. (So here you've saved a bunch of time).

Awesome, so Now I'll go ahead and Install my Windows 2003 server, and we'll go from there.

Thanks in advance!

Ok - Done Formatting and installing W2K3 on the machine (by the way the DELL poweredge 1750 is REALLY LOUD) - I found a few solutions to that problem such as updating the BIOS, but I won't do that now).

** For those of you who are looking for info on installing the actual software, here's a very good link:

http://www.petri.co.il/how_to_install_active_directory_on_windows_2003.htm

Now I'll setup the IP addresses and networking on it.

Two NICs, one on the inside with a class C non-routable IP addresss (192.168.2.1/24) and onether one public (66.xx.xx.xx/29) I still have 4 public IPS left).

Everything works! Now I'll run the Active Directory Wizzard.

Everything seems to be working fine.

Next, I'll tackle DNS, that's where I'll need all the help I can get.
Refresher: This machine has to run its own Name Servers and resolve all the queries sent to it by the AD clients. (It is AD integrated) (I can also setup forwarders to my ISP's name servers if necessary... Should I do that?)

I have setup my DHCP server to send its own IP address as the DNS server

Next I should tell my DNS server on this machine to forward all the queries that I can't resolve to my ISP's name servers.
How do I do that?

Another thing I've just setup DHCP on the same machine too:

Scope 192.168.2.1 to 192.168.2.245
Exclusions: 192.168.2.1 - 192.168.2.5 (for DC, router, swtich, etc).
It's working fine.

So here's the DNS info:
FQDN is mydomain.org

Now I'll try creating the NS1 and NS2 hosts in DNS. I'll report in a minute.

I don't think this will become a problem, but I just changed my name server records:
NS1.MYDOMAIN.COM
NS2.MYDOMAIN.COM
BOTH to the same ip address of my Domain Controller.

I understand about the availability issue and all, but right now I just need to test this.

After setting all this up, did you look at SBS 2003 Premium? as it does all this, on one box, with the help of a couple of wizards, & works.