I have SCCM 2007 and Server 2003 installed.

I have the SCCM Plugin as well.

I can get console redirection working, but I can not get USB redirection working. I get an Failure message with the USB redirection. 

Is there supposed to be a web server configured somewhere?

If so, how and where should I set up the web server?

Any help or instructions would be appreciated.

Were you ever able to get this working?

I have the same problem with the exact same configuation that you have.

I am unable to get any of the redirection features working and I get a failure message with both USB-r and consol-r.

I have been able to get redirection features working with the plug-in SDK but when using it in conjunction with SCCM.

If you are running SCCM 2007 or W2k8 or W2k3 server, you can start the IIS webservices and then put drop your ISO image there.

Here is the helpful link on how to setup IIS Service:

http://support.microsoft.com/kb/323972

Make sure you can browse to the ISO before you attach it using USB Redirection.

HTH