The device that Windows fails to identify is this one:

More info can be found by looking up the IDs in the pci.ids file (as I often do), or by means of the various “Unkown Device Identifier” type of software (e.g. this one). If you have a Linux machine at hand, such a one-liner may suit you:

What’s missing is an Intel SATA driver; needless to say that you won’t find it anywere on HP site.
I downloaded and installed the Rapid Storage Technology Driver from Intel’s web site (here). A 280KB download named “STOR_all32_f6flpy_9.6.0.1014_PV.zip” fixed things up for me.
Maybe the proper thing to try would’ve been the latest (March 2010) Proliant Support Pack, but it’s a big download and I didn’t have the time. Also, the onboard SATA controller isn’t really used (the additional SAS RAID is, instead) and I just wanted to get rid of the yellow warning sign in Device Manager.

and:

To deal with the first one, see document MIGR-43764 and download the driver mentioned there (it’s called “25k9219.zip”).
The latter can be fixed by installing the “IBM Active PCI Software”, you can find it on your server’s support page, e.g. here (“90p4169.exe”).

Also, document MIGR-51940, Installing Microsoft Windows Server 2003 version 1.0 – Servers, proves useful.

And a last bit: if you’re in a hurry or haven’t got the CD handy, ServeRAID Manager Software can be installed by simply copy/pasting its folder from another server. It usually works.