If you Google "infopath 2003 save as PDF", you'll see several links to this
subject. Basically, it involves custom code and one or more third-party
components to make this work. It can be done, but there appears to be a lot
of pogramming involved.
InfoPath 2007 allows you to save as PDF, so you could write a macro to do
this automatically. Considering the cost of developing a custom solution, it
might be easier and cheaper just to upgrade InfoPath.