Windows Server 2003

For Windows server 2003, PowerShell V1 was released as KB ( hotfix). Download and install KB926139 – Windows PowerShell 1.0 English-Language Installation Package for Windows Server 2003

If you need PowerShell V2, make sure you have SP2 installed and then install Windows Management Framework from http://support.microsoft.com/kb/968929

Windows Server 2008

For Windows Server 2008 run the following command in an elevated Command Prompt.

servermanagercmd -install PowerShell

Windows Server 2008 R2

Windows Server 2008 R2 has PowerShell V2 built in and enabled by default, however, PowerShell ISE is not. It is installed on Windows 7 client OS, but an Optional Component on Windows Server 2008 R2. To Install PowerShell ISE on R2, run the following command in a Windows PowerShell Modules prompt

Import-Module ServerManager
Add-WindowsFeature PowerShell-ISE

OR

1. In Server Manager, start the Add Roles and Features wizard.
2. On the Features page, select Windows PowerShell ISE.

Windows Server 2012

Windows Server 2012 has both PowerShell V3 built in and installed. PowerShell ISE needs to be added as it’s an optional Windows PowerShell feature, same as Windows Server 2008 R2.

Also checkout How to run PowerShell scripts to start your first PowerShell script.