You're seeing this problem because Exmerge uses the ANSI PST format, rather than the newer Unicode format. The ANSI format has an upper file size limit of about 2GB, and then, as you state, corruption occurs. Using Exmerge, there is no work around this issue. If, however, you archive using Outlook 2003's Archive feature, you can save to newer Unicode files, which will grow ten times larger to 20GB.
However, I would strongly advise you against using Exmerge or any form of PST file for archiving. I wrote an article a while ago which explains why you should avoid this like the plague:
http://www.experts-exchange.com/articles/Software/Server_Software/Email_Servers/Exchange/Why-you-shouldn't-use-PST-files.html.
What are your reasons for doing this? To save space on the Exchange Server? Because you've hit your mailbox database limit? You should use a commercial archiving solution (such as Symantec Enterprise Vault or GFI MailArchiver, as discussed in the article) or find some other solution to your issue, rather than use PST files for archiving.
>> I've install Microsoft Outlook 2003 in the server
Finally, installing Outlook on an Exchange 2003 Server is NOT supported and could cause you potential issues. Please see
http://support.microsoft.com/kb/266418.
-Matt