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You have to install the GPMC for 2003 but in 2008 GPMC is available in any DC.

Remove the Authenticated users and add a  security group, find the screenshot for the same.



See the below links for implemainting  the Security filtering. You will get the step by step infomation with screenshots.

http://www.windowsnetworking.com/articles_tutorials/group-policy-security-filtering.html
http://technet.microsoft.com/en-us/library/cc781988(WS.10).aspx

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