There are two physical servers on which we want to install MS SQL 2008 and our application. Our application is using DB in separate *.mdf file. Our application works only on one server at the point of time.
Can we create this file (*.mdf) on the DFS? Will this file be the same if we start our application on second server?
If the DFS is a "local disk" to the server than you may be able to use DFS. However, you can't have a 2nd SQL Server using it.
Typically, you'd have one SQL Server with several clients (weg a web farm) connecting to it.
If you ask because unless you have some serious reporting requirements on a busy server, just have one SQL box.
If you want this for DR purposes, then look at database mirroring
There is a lengthy discussion on using file servers as the storage for SQL databases in KB304261. The bottom line is: don't do it unless you know exactly what you are doing.