Please see responses to your questions in context below.
>I have Vs.Net 2003 on 3 CD + MSDN on 3 CD = 6 CD
>
> Is there any option I can burn them all to one DVD and run future setup
> from the DVD ?
No, AFAIK.
> Second question
>
> I have MSDN installed on my hard drive, how can I install just the IDE and
> tell the IDE where is the MSDN location ?
Although it may be possible to do it, it would be much simpler for you to
just install the IDE, then reinstall the MSDN Help as prompted after the
install. That will get you the mapping you seek between Visual Studio and
MSDN automatically,
> Thank you
>
> Sharon

Signature
Peter [MVP Visual Developer]
Jack of all trades, master of none.