The MX record points to the A record of your mail server, or the mail server of the email provider you choose.
If the server is in your domain then create an A record with the IP of your mail record. If the mail server is another service providers then you do not need to create any other DNS records.
The built in Win2003 services are very minimal and generally not sufficient and not recommended. MS Exchange, not built in except with SBS and otherwise a separate product, is a very full featured email server that also requires significant administrative skills, backup procedures and possibly hardware depending on the # of users and level of uptime your organization requires. Finally, running your email server on your web server is generally not recommended for security and performance reasons.
IMO, at this point in time the large hosted email providers: Google Apps/Gmail, Rackspace, Microsoft BPOS, AppRiver, Intermedia, etc, etc all offer better email services than a small org (somewhere between 75 - 250 users) can afford to provide on their own. Better = cheaper, more reliable, more storage; it doesn't mean perfect. Don't fight the tide, outsource.