You need to go into "Create a New Document" then go to "Templates", its in the last tab "Other Office Documents". Choose the 3 fold pamphlet templete and remember to print in "landscape" format.
Set orientation from Page Setup as "Landscape". Click the "Columns" button on the standard tool-bar. Set number of columns as the Folds in your pamphlet. Add/edit the content as you like.
If you type pamphlet into the help search box on the top right corner of Word 2003, 14 pamphlet templates will show up. You can use any of these to make a pamphlet.