I'm familiar with Outlook 2003 and I don't know of a way to do this, but I'm not absolutely sure about it. I did review the email settings and did not find any setting to accomplish this.
I don't know whether you'd consider using Outlook Express. I would normally not suggest it over Outlook, but it has a feature which will do what you want. In OE, under View, selecting Group Messages by Conversation accomplishes what you want to do.