I also have Outlook 2003. I did some testing after reading your message and find that I can reply to a message with the format for the original message being retained in the reply. So, unless there's something peculiar about your multi-lingual computer that affects this, I think the cause probably lies somewhere in your settings or the procedure you use to reply to a message.
By the way, your default font setting replying and forwarding must be set to Times New Roman, which is why you see that font when you initially start a reply. You can change that by going to Tools, Options, Mail Format, click on Fonts, and then click on Choose Font (under "When replying and forwarding").
Since you say you change to HTML format when replying, you must have Plain Text set as your default format. I suggest you change your default format to HTML and see whether that eliminates the problem. To change the defualt setting for this, go to Tools, Options, Mail Format, and set HTML in the "Compose in the message format" box.
Exactly what procedure do you use when replying to a message? Do you click on the message and then click on the Reply button on the main toolbar, or do you double click on the message, thereby opening it in a separate panel, and then click on the Reply button on the toolbar in that panel?
If you double click on the message to open it in a separate panel, do you see a gray bar at the top of the panel that says, "This message was converted to plain text"?