How to associate a file extension with a specific program for all users in Windows Server 2003

This is setup by default. You would need to make sure those users that should be allowed in are in the administrators or "remote desktop users" group to allow access. If they must be admins you can take out that group and specify only certain users.

Right click my computer, manage, click "remote" tab, click "enable remote desktop on this computer", click "select remote users"

I don't know a way to change the "you don't have access to term in" message.

Your member computer is picking up its local password policy settings from the "Default Domain Policy" (in a stock configuration) but you can override it by applying a group policy object with the password policy settings you'd like at the OU of that machine (or, really, anywhere lower than the top of the domain but above that computer object's path).

As long as you don't put another password policy into a GPO at the root of the domain you won't cause changes to the domain-wide password policy (used for AD accounts by domain controllers).

You might see things about granular password policies in W2K8, but this isn't what you're looking for. What you want can be done in every version of AD back to W2K, because it only applies to local accounts on member computers.