Based on a sample from MacCentral's AppleScript primer, I wrote (in about 1 minute) an AppleScript Droplet Application that makes Quicken QFX files selectable from the Import Web Connect feature in Quicken 2003 for Mac.

You can download this script. Double click the file to decompress the StuffIt file. The application will appear. Put it in your Applications folder or whereever else you want. You might want to put it in your Dock too.

After downloading a .qfx file using your web browser, drag the file and drop it onto the droplet icon. The script does its thing and quits without displaying any windows, you should notice the file's icon change to a Quicken file icon. Now you can import the file using the Import Web Connect command in the Quicken's File menu.