Correct, you then need to save the messages again from the Outlook 2007
source but in the old format.
To do this, open the contact in Outlook 2007 and choose File-> Save As...
and select ".msg" as the format. Don't select the msg-format for Unicode.
If you are using drag & drop in Outlook 2007, then you can also set Outlook
to save in the ANSI format (for Outlook 97 - 2002) by default;
Tools-> Options-> tab Other-> Advanced Options-> untick: Use Unicode Message
Format when saving messages
There is no way to import the new Unicode formatted msg-files in Outlook
2002 when you don't have access to Outlook 2003 or Outlook 2007.