I’m trying install Dynamics AX Server 2009 in Windows Server 2003 but I have got problem with this. They tell me I have to give “Project Web access” but I don`t know what is it? Can you help me?

What I have to put as the project web access URL?

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It is probably exactly what the error says.
You’re missing MS Project Server, which is a prerequisite. This is why you don’t have a URL to put in or a database to connect to. You simply haven’t installed it. The actual error is because you aren’t connecting to the database.