Outlook 2003 supports multiple mail account types in a single profile w/out
issue. For example, if you have multiple POP3 accounts, the items from
these accounts would be delivered to a single PST file.
IMAP accounts are a bit different where each IMAP account gets its own PST
file.
You can set the default delivery location of a Microsoft Exchange account to
a PST, but I find it better to use cached mode and keep the default delivery
location set to the Exchange mailbox. It should be noted that if you add
POP3 account definitions to an Exchange profile, POP3 mail would be
delivered to your Exchange inbox. Not so cool if trying to keep work and
play accounts separate.