By default the SBS 2000 installs the fax service starting as a LocalSystem account. LocalSystem accounts do not have access to network resources and therefore can not print to network printers even though the printer is installed on the local machine. You need to change the Fax Service to utilise an account other than the LocalSystem account. You can do this via Services located under the Administrative Tools program group.
Select the Fax Service, go to properties, and specify another account such as Administrator and enter the password. Restart the Fax Service once complete and you should then be able to have incoming faxes print directly to the network printer.