The following article describes a workaround to the Office 2007 save document to local drafts folder functionality being enabled when working with Office 2003.
Reading many articles on this and many people are suggesting the only way to get this functionality is by upgrading to Office 2007. To get round this Microsoft have recently made SharePoint Designer 2007 a free download. If you install this on a pc that has the Office 2003 suite installed this prompt will now be available FOR FREE!
I appreciate this is not an ideal solution for enterprise organisations however in the current economic climate this may be something that could be an option and fairly easily deployable via group policy.
Do remember though working offline on laptops that have unencrypted hard disks could put your data at risk.