When I read your message the first time, I took it to mean that you wanted to
color-code certain messages from particular contacts. Rereading your message
makes me doubt my initial interpretation. I can't think of a way you can
color-code your Contacts records in Outlook 2003. Coloring is done by labels,
which is a property of Calendar items and not Contact items. You can't add
labels to Contacts in Outlook 2003.
You can, however, use categories and create views of your contacts based on
those categories. It won't be colored, but it will allow you to manage the
contacts more easily. In Outlook 2007, color properties are tied to
categories, but I haven't experimented with seeing if I could use categories
to show contacts in color. I'll take a look.