It seems that when I install TFS I just lost all my Windows Firewall settings.
How can I back this up and restore them on Windows 2003?
The firewall configuration is stored in the registry
It can be exported to backup or if you do a registry backup its included in it.
Since Windows Vista/Windows Server 2008 netsh.exe utility allows (netsh advfirewall export) to export/import Windows Firewall with Advanced security configuration.
But it seems for Windows XP/Windows Server 2003 no other possible [standard] solutions for this task except export/import registry settings as jer.salamon stated above.