"Some people" does not matter coro.
It is what YOU feel ok with and what YOU want to do that matters because YOU have to work with it.
The build in Firewall capabilities are not as good as a 'real' firewall, sure, so, your option is the get a 'real' dedicated firewall.
For those who suggest to you to use Linux, that is all fine, but if you don't know the first thing about it, don't go that road.
If you have a friend or so who does know, Linux is easily set up as a firewall and even mailserver for 'free', on an old PC.
For the other things you may want, you can still use a Windows 2003 server, behind the firewall.
Marc
If 'something' 'somewhere' gives 'some' error, expect random guesses or no replies at all. Please specify details.
Free Tip: The F1 Key does NOT destroy your PC!