To access Sharepoint 2001 with Office 2003 products you need to install the
Office 2003 SharePoint Patch on the client.

I'm building a sharepoint  portal server, config is win 2000 server,
sp4, sharepoint portal  sp2A, application office  2003, i'm tring to
install.After installing above, While creating the Workspace on
Portal i get the following Error "To connect to a backward-compatible
document library, you must install the client components of the
document library component for Microsoft Office SharePoint Portal
Server 2003".

So I download the SPS2003DMClient.exe file to install client component
for sharepoint portal2001. Could'nt run the EXE because system need
sharepoint2003 server components to install first.

Where are you attempting to install SPS2003DMClient.exe? This is an addition to
Office 2003, so it needs to be installed on each client, not on the server.

All that we tring on Server, because this would be demo meachine for
our application, so server and application client will be installed
on same machine. Is there any solution to this???

Do you have Office 2003 installed on the server?

YES, office  2003 is installed on the server .

Office 2003 is not supported on a SPS 2001 server. We have a
salesperson that installed Office 2003 on his SPS 2001 demo machine
last year and we had to regenerate his demo machine. Not only will
Office 2003 not work on this machine but you will find that you can
no longer access the management features of SPS2001. I did see a
technical bulleting that this is not a supported configuration but I
am unable to find it at the moment. My recommendation is to use
VMWare or Virtual PC to create a virtual network with a server
running SPS2001 and a client running Windows XP with Office 2003
(you will need to install the client for backward compatible
document libraries on the client image).