If you're opening an existing Word 2003 document, it probably wasn't created using your custom-modified Normal.dotm template, which is why it doesn't adhere to the Intense Emphasis style you've defined for your new documents. You can either make this same change to the Intense Emphasis style in the existing document, then save it, or you can use Import Styles* to copy the style definition from your Normal.dotm template. Then, the next time you open that same document, it should retain the change you made.
Unfortunately, the only way to make this color change apply to all such documents involves travelling back in time to before they were created, then modifying the style of Normal.dotm on the system of the original author (be that yourself or someone else).
*This link contains instructions for using the Import Styles command, written in the context of Word 2010, but the process should be very similar in 2007, if not identical.