Sometimes, enabling compatibility mode does not work for some application setups. However, most applications still use MSI-based installation files. At the time your run the .exe setup file, it extracts the MSI file into your %USER_PROFILE%\Local Settings\Temp (for easier location of the extracted file, open the folder in explorer and order by access time in detail view). Just copy out the file to a location on your hard disc and edit the msi properties using Orca.
The LaunchCondition table in an msi file may contain rules that prevent an msi based software installation from installing on Server 2003. Cutting out any lines in that table will make the installation work.