Oh, lots of people wonder it, it's just that no one has a simple answer. It used to be possible to edit the welcome.msg file for OL2000, but with OL2002 that functionality was disabled, and this is still true for OL2003.
Why MS insist on scoring these own-goals is a mystery to me - lots of people want this. Your only option is a 3rd-party app (if such a thing exists), or maybe a script to create new mailboxes, then you can send a welcome email to the new mailbox as the last command of the script.