By default CDONTS is NOT INSTALLED on Windows 2003, but CDOSYS is. CDOSYS is an updated version of CDONTS, but more than likely you will need CDONTS for compatibility issues.
However, some ASP scripts will require CDONTS and customers can need CDONTS install.
1) First, install MailEnable or other SMTP server. Make sure it is running.
2) Download and unzip cdonts.dll to C:\Windows\System32 folder
3) Register the CDONTS.DLL component on your server by clicking start >> run >> type : cmd
a)The Command Prompt window will open as shown below.
b)At the flashing cursor, type in CD \windows\system32 and press enter.
c)Now, at the flashing cursor type in RegSvr32 cdonts.dll and press enter.

Now CDONTS should being work perfectly.

To know if CDONTS is installed you can use http://www.pensaworks.com/prg_com.asp to view a list of installed components.

Based on: http://www.windows-2003-hosting.co.uk/?pagename=cdontshowto