I think that may depend on the installation history of your system. My copy
of Word 2003 at home (version-upgraded multiple times over the years) does
give me that dialog, but the one here at work does not.
There are many threads archived in Google Groups that ask about this, but
there doesn't seem to be any definitive answer about how to get the
converter installed if you don't have it. The supplementary converter
package you can download from the Microsoft site doesn't have it.