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I don't believe there is built in firewall in 2000 Server, but when you don't have an application listening on a port, then that port will appear stealthed (though there are some that always appear either closed or open). Once you start an application that listens on a port, that port will then appear open.
So unless you have installed a software firewall, there's nothing you actively have to do.
If you have a router, then you will have to open the port on there.
You can check what ports are open with Shields Up.