In MSOffice 2003 Insert Menu,
Reference
Indexes and Tables, click on "Table of Contents" tab,

Make sure that Build Table of contents from: "Styles" is checked. Click on
"Options" .  Number your heading styles in the order you want them to appear
first. (i.e. Heading 1  TOC Level: 1) remove any other 1, 2, and 3 etc. from
the TOC levels window box that you are not using.  The default is up to 3
levels, if you need more than that on the Table of Contents tab you have the
option to change the "show Levels", etc.

Good Luck

Click on "Ok"
Click on "Ok"

There are several excellent articles on how to use heading styles and create
TOCs on Word MVP Shauna Kelly's website http://www.shaunakelly.com/word/.  
Look in the "Numbering, Bullets, Headings, Outlines" section.  

In addition to the excellent information in Word's Help topic "Create a
table of contents," see http://www.ShaunaKelly.com/word/toc/CreateATOC.html
and
http://office.microsoft.com/training/Training.aspx?AssetID=RC011356771033&CTT=6&
Origin=RC011356771033