You're correct; not possible.

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Robert Sparnaaij [MVP-Outlook]
Coauthor, Configuring Microsoft Outlook 2003
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Real World Questions, Real World Answers
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> I have a server-side rule set up in Oulook 2003 to reply to all messages
> received by a mailbox. It uses the "Have server reply with a specific
[quoted text clipped - 10 lines]
> greatfully received.
> Thanks, Dan