Another thing to keep in mind is that the HP MSS only has 512MB ram. That's barely enough for 2003 Server.
For Windows Server 2008, 512mb is the MINIMUM supported. RECOMMENDED is 2GB.
I can't imagine running it on 512mb.
Regarding headless installation, DVD's, etc., this has been discussed elsewhere, but there are folks out there who are looking at building "tech stations" to faciliate disk prep for the MSS. This is a tricky proposition, and certainly not ideal, but can be made to work. Then idea is you install to your HD on that system which has similar-enough looking hardware, and move the HD into the MSS. A lot of work...and like I said far from ideal.
Of course, also completely unsupported. But then again, running 2008 on MSS is unsupported anyway, from both HP and MS perspective. MS would never support or condone a system prepped this way. It's just not the "right" way to do things, even though techically it can be made to work.
Ryan