The alerts from Sharepoint 2007 are simply unreadable in Outlook 2007 (RTM or SP1) configured to connect to an Exchange 2003 server. One workaround was disabling the cached Exchange mode in the mail account properties (not recommended for mobile users). One other solution involved some Exchange 2003 patches (depending on the mood of the Exchange admins). The simplest solution is to install the Outlook 2007 February 2009 Cumulative Update (http://support.microsoft.com/kb/961752). The KB article does not mention anything about Sharepoint alerts, but it just works.