Yes you can install all the roles onto the same server.
Do you mean Exchange 2003 or 2007? There is no 2005. 2003 has front end and back end roles, but 2007 has Hub and CAS roles. If 2003, there is no front end role to install if you are only installing one server. A front end role server would be a separate server altogether and is not required. Please clarify the version you are installing. Thanks.