XenApp 4.5 (AKA 5.0 for Server 2003) Feature Release 1 is the latest product for Windows Server 2003.
XenApp 5.0 for Windows Server 2008 is the latest for that OS.
nFuse is now called Web Interface.
XenApp is install on a server not on a client unless you are using some brand of server virtualization software for testing purposes.
Start here,
http://www.dabcc.com/channel.aspx?id=271&page=2 , and read the articles I wrote on learning XenApp.