I haven’t tried it myself. First install SQL Server 2000 and patch it to SP3a, the follow these directions…
http://groups.google.com/groups?q=jeanfor+project2003&hl=en&lr=&ie=UTF-8&oe=UTF-8&selm=325BA1F7-D44E-437E-A18D-907909762675%40microsoft.com&rnum=1