Regardless of which folder you choose for the install, Quicken versions share other folders such as \Program Files\Shared\Intuit\.
Keep in mind also that Quicken versions share things such as QUICKEN.INI and that this is not kept in the install folder. This means that Quicken may attempt to open the last used file in one version with the other version, leading to instant file corruption if the 2003 version opens the 2006 version files.
Finally you need to remember to keep your data files separate for the above reason.
In general, I'd say that it is a bad idea to run multiple versions of Quicken on the same machine. John Pollard used to do this, but I believe he has also now given up trying to do it - the side effects got too bad. So unless you have two computers, I suggest that you close your eyes, trust that since July the 2006 users have discovered all the catastrophic bugs , and make the conversion instantaneous.
For best results on the conversion, do the following.
Make a Quicken copy of your current data file. Validate the copy. Uninstall Quicken 2003. Use the QCleanUI.exe utility on the Quicken
2006 CD (in the tools folder) to remove all traces of prior Quicken versions from your machine. Then run the install off the Quicken 2006 CD. Open the validated copy of your Quicken 2003 data with Quicken 2006 and let Quicken convert it.