From Outlook 2003 Help
On the File menu, point to New, and then click Distribution List.
In the Name box, type a name.
Click Select Members.
In the Show names from the list, click the address book that contains the e-mail addresses you want in your distribution list.
In the Type name or select from list box, type a name you want to include. In the list below, select the name, and then click Members. Do this for each person you want to add to the distribution list, and then click OK.
If you want to add a longer description of the distribution list, click the Notes tab, and then type the text.
The distribution list is saved in your Contacts folder by the name you give it.