I would like you to know that rules in Outlook 2003 are only applied to the email messages in the active Inbox.
Therefore, based on my experience, the issue may occur since the junk emails have been automatically filtered to the Junk E-mail folder before the rule you create take effect.
To resolve the issue, I provide you with the following workaround instead of creating the rule to delete the junk e-mail.
You may go to Tools--; Options--; Junk Email and check the "Permanently delete suspected junk e-mail instead of moving it to the Junk E-mail folder" option.
I hope the information will be helpful.