Are you talking about Project the desktop app or the Project server? Both work,
the former has no installation order requirements, the latter requires Project
Server to be installed before SPS. Your best bet on Project Server it to follow
the instrauctions for installing the WSS integration in the Project Server
documentation, and just replace WSS with SPS everywhere.

Project2003 WSS and SPS2003 can be installed on the same server. The
install is a little bit tricky. Here are the main steps:

1/ installl SPS 2003 (make sure that frontpage extensions are not
installed
2/ run WSSWIZ.exe
3/ do not extend the default virtual site in WSS, instead create a
portal site in the Default site
4/ create a WSS site
5/Install projectserver2003 (if you install services make sure you do
that install first)
6/Check that the application identity for project  server is not using
the Portal identity (it causes the grid not to function properly), but
uses a Network type identity.