DotNetNuke does not support VS.NET 2003 anymore. If you want to run a DNN version on that platform and develop on it you should get the latest DNN 3.x version, though I don't recommend this since it's not been updated in more than a year and it will not be anymore.
I highly recommend you to use the DNN 4x version and use the VS.NET Express versions (free) or VS.NET 2005 to develop modules for it Keep in mind that VS.NET 2008 is already available so you'd be using a tool two major versions old, which is not a very good thing (think on support, maintenance, upgrades...)
As per the installation on a host you only need two things: support for asp.net and support sql server.