you would have to right click My Computer and go to Properties. Then go to the Computer Name tab. Check to see if it is in a domain or workgroup. Click on Change. At the bottom you can add it to your current domain. You will need a domain admin account to be able to add it to the current domain. If it shows that it is a member of a domain already you will need to remove it from that domain by checkmarking the Workgroup section and put in a name for the workgroup. Then it will reboot. Then go back in and add it to the correct domain.
Once it reboots it will be on the domain. If you want it to be a domain controller you will need to run dcpromo to promote your newly created member server to a domain controller
*** Improved by Wrobinson on 4/23/08 ***
This is great but paints an incomplete picture. Installing a Windows Server 2003 Active Directory domain controller into an existing Windows 2000 Server Active Directory domain will perform schema updates to the domain. You should make sure to perform a full back up of at least one domain controller and its system state (Active Directory) before proceeding with this implementation. Granted, this is a low risk procedure, things do not always work in production, the way that they do in a lab vacuum.
You can update the schema before installing the Windows Server 2003 domain controller by running the adprep /forestprep and adprep /domainprep commands respectively. Alternatively, they will be run during setup.
For more information, review the following MSKB article. There are additional considerations when Exchange Server is installed in the environment that are also covered in this article.