Go to
http://colorado4wheel.com/manuals/Jeep/KJ/ and get a copy of the 03 FSM. I suspect instructions are in there; run a search on "overhead".
If not I imagine there isn't much difference between mounting the console in an 03 vs. an 05/06 so here is a how to for the latter:
OVERHEAD CONSOLE - REMOVAL
1. Disconnect and isolate the battery negative cable.
2. Remove the overhead console retaining screw (3), located in the front of console (2) near the windshield.
3. Using your fingertips, grasp the sides of the overhead console (2) and pull straight down evenly to
disengage the two snap clips at the rear of the unit.
4. Lower the overhead console far enough to access the wire harness connectors.
5. Disconnect the Electronic Overhead Module (EOM), courtesy lamps and power sunroof switch electrical connectors, if equipped.
6. Remove the overhead console (2) assembly from the vehicle.
Install is the reverse