Today, in the Exchange and Outlook Update newsletter, Paul Robichaux answered a reader's question about whether or not Exchange 2003 could be integrated with Exchange 2003 Service Pack 1 in such a way that you only have to install the "integrated" package. This is actually a fairly frequent question on the newsgroups and that I am asked personally. I felt it was blog-worthy. :-)
In Windows 2000, Microsoft introduced the 'slipstream' or integrate feature in to service packs which allows you to integrate the service pack in with the baseline operating system. This can speed up installation times.
Unfortunately, Exchange 2003 does not support this feature. You have to install Exchange, then install the service pack. Perhaps in a future service pack. Let Microsoft know what you want at firstname.lastname@example.org (Exchange specific suggestions) or email@example.com.