There can be a single cause or several related causes for this particular dialog box. The "Requesting data from Exchange server..." dialog appears when Outlook 2002 or 2003 has not received a server response to a request for 5 seconds or more. So anything that could cause a response to be delayed may be suspect. Some configuration options in Outlook can cause more requests to be generated so the chances of a 5 second delay rise just because of the frequency of requests. Networking issues may affect the time the response takes to be returned and performance issues on the server can cause slower responses.
The fact that these "Requesting dialog from server..." dialogs appear is not always a sign of a persistent issue. If they appear once a month for a second or two that could possibly be normal. If they appear everyday for seconds to minutes at a time then there is something causing latency in the client receiving a response to an outstanding server request.
The article below is a good place to start.
839862 How to troubleshoot the RPC Cancel Request dialog box in Outlook 2003 or
http://support.microsoft.com/?id=839862