MrSID (.sid) files have different 'generations' of file formats I.e. there are MrSID Generation 2, Generation 3, and Generation 4 files.
What generation of .sid is supported in ArcMap 9.3?
Generation 3 is supported: Data Formats Support in ArcGIS 9.3
Generation 4 support is targeted for 10.1 according to ESRI forums.
with your title and a bit of google i've got this link:
http://webhelp.esri.com/arcgiSDEsktop/9.3/index.cfm?TopicName=Data_formats_supported_in_ArcGIS
generation 3 is ok.
Generation 4 seems ok only with arcgis 10 (http://www.lizardtech.com/downloads/plugins.php)