Yes, but the users have to be set up on the server to allow this. On OS X Server, it has to allow remote users, which ultimately means that the user information is copied onto the machine, including a copy of the home directory. Then, whenever anything is changed, the home directory syncs back up with the server. I don't know for certain whether it's possible with a Windows Server or how it would be done if it's possible.
This isn't remotely a MacBook Pro question. You'd likely get a better answer over in the server forum:
My current AD environment is mixed with Microsoft 2k3 and 2k8. i don't have any OS X Servers connect and my MBP is joined to Microsoft AD. Is there anything i need to do on my Microsoft AD?
Btw currently when i unplug my MBP from network, am unable to login. i see a red light on username tab.
There you go. I believe it automatically syncs on login/logout, and I believe that at least back in the 10.3 days (last time I did this), there was an option to sync manually while you're logged in.