I know in 2003 you can tell the animation for a shape to start on mouse click, but I'm not sure if 2003 has the option to change the color of a shape. I know it does in later versions. Two best options in my opinion:
1. Pick another emphasis animation to start on click of the shapes.
2. Or the more difficult option which is what I think you were referring to. Hyperlink the shape to go to a slide where the shape is a different color when clicked on. If you want it to stay that color then that would work. If you want it to go back to the other color without clicking it again you would have to make a mask on that secondary color slide behind the shape so that when you move the mouse off of the shape that changed color it would hyperlink back to the original slide. A giant invisible square covering the whole slide behind the shape would work, just hyperlink it to return to the original slide when the mouse hovers over it. I'm fairly confident that will work in 2003. Does that make sense?