Hi,
you can start your download, choose your preferred version, from here: http://docs.jquery.com/Downloading_jQuery. Then create a scripts folder in your solution and add it as an existing item (right click the folder > add > existing item...).
Intellisense in vs2003 for javascript was pretty flawed, even in vs2005. There's a hotfix that you can install for vs2008 which improves Intellisense a lot already. So though you can perfectly make use of jQuery Intellisense is not going to be great or even supported (it's been since 2004 that I used vs2003 but seen that javascript wasn't really hot back then Intellisense didn't receive the love and attention it should've gotten back then) .
Grz, Kris.