I am not using Outlook 2003 on this PC so I can't give you the instructions,
so maybe someone else can help with the specific steps.
Click the Shortcuts button at the bottom of the Navigation Pane. You should
see two sectons in the Nav pane. The top should contain a shortcut group
called "Shortcuts". The lower section will contain links to "Add New Group"
and "Add New Shortcut". You can add your file system shortcuts to the
"Shortcuts" group or create a new group of your choice with the "Add New
Group" link. Once you've decided in which group you want your shortcut, open
Windows Explorer so you can see the folder or file. Click that folder or file
and drag it to the name of the shortcut group where you want to see it. When
you hover over the group name, the cursor will change to a the standard curved
arrow icon that shortcuts usually contain in their lower left corners. You
can then release the mouse button and the shortcut will appear under the group
name.
You can open the object associated with the shortcut by double-clicking on it
in the Shortcuts view of the Nav Pane. You can't, however, drag an Outlook
item to a shortcut for a file system folder like you could in Outlook 2002 and
earlier. Only shortcuts to Outlook folders will accept dragged Outlook items.