Outlook doesn't have a View, Source option like you'll find in Outlook Express. It has View, Options which shows you the Internet header in a small text box. But it only includes the Internet header, not the full message source.

Using Outlook 2003 you can view the header and source together, if you edit a registry key. This works on mail obtained from Internet mail transports, not Exchange server mailboxes. However, if you access the mailbox using an Internet transport, you'll see the full source.

Open the registry editor and navigate to:

HKEY_CURRENT_USER\Software\Microsoft\Office\11.0\Outlook\Options\Mail 

right click on the right pane and choose new DWORD:

Parameter: SaveAllMIMENotJustHeaders
Value: 1

Note: This works only on new mail received after you create the registry key. You won't be able to see the source on messages already downloaded.