a normal.dot issue. Add-ins can block changes to your options. Go to Tools/Templates and Add-ins to see if anything else is loading with Word that may be interfering. You can permanently disable add-ins by moving them out of Word's Startup folder.
Is this an upgrade to 2003 where you carried over your old normal.dot or a fresh installation? Do you have a backup of your normal.dot file that you can copy over? It's possible that there is some corruption in that file. Try starting Word by holding down the Ctrl key so you open in Safe Mode. Close Word and reopen the normal way. Sometimes this jostles registry settings back where they should be. Detect & Repair (on the Help menu) also fixes some registry settings. (The options dialog box settings are stored in the registry.)