Because Outlook simply doesn't support that. Consider consolidating your contacts into the one folder and distinguishing them by categories.

Signature
Sue Mosher, Outlook MVP
Author of Configuring Microsoft Outlook 2003
http://www.turtleflock.com/olconfig/index.htm
and Microsoft Outlook Programming - Jumpstart for
Administrators, Power Users, and Developers
http://www.outlookcode.com/jumpstart.aspx
> Outlook 2003
>
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> ticking the box in the Properties dialog box ... is there a reason why I
> can't set up contacts from other folders to track activities?