I don't have 2003 in front of me here. However, assigning different picture files to the picture property is how you get it done in 2003. The easiest is to use the Wizard to add the picture control and then delete the embedded picture by erasing the text in the Picture property. You will get a prompt to verify removing the picture. Then, in VBA using the On Current Event of the form, assign the path and file name to the Picture Property.
Code:
Me.ControlName.Picture = "The_UNC_Path_To_The_File"
So you can store the corresponding path in the same Row/Record that you would otherwise have the OLE.