Yeah, your OS is not supported, it's a fossil. First of all, Connect Client doesn't do Windows Server, because it's for a workstation only, but it will USUALLY work. However, 2003 is so old, it falls within a similar family of workstation type software like Windows XP, and support for Windows XP is completely dropped.
Try the open source OpenVPN client, there is an old version still compatible with Windows XP if you scroll down to version 2.3 and use the Windows XP version:
https://openvpn.net/index.php/download/community-downloads.html