Accepted Solutions
What steps do I need to do with winimage to convert it to VHD, I should say steps that you recommend?
Open winimage. click on disk -> convert virtual hard drive image.
Then you choose which format you want to convert. If you are doing vmdk, you click on vmdk and the location where the vmdk is located. Then it will prompt you for a name to save that as. So you click on the vmdk file you converted, click open.
Now you have to choose fixed size or dynamically expanding. This is asking you if want to keep the file static, meaning its all allocated now, or gradually increase the disk to fill to the capacity.
So if you have a VM that has a 30Gb drive, and you only have 10Gb filled. If you choose fixed, that means it will create that new *.vhd image as a 30Gb file (which means you have to copy a 30Gb file). OR you can choose dynamically expanding, which means it's ~10.5Gb file and as you fill up the VM it will grow to 30Gb over time.
If you are just testing and this will be a short term hyper-V make it dynamic. Fixed is good if you have a lot of VM's and you want to make sure you have the space.
Then after you choose the format, you select the file to be created. This is the target virtual hard drive. So you want to choose *.vhd and give it a name. The name really isn't important, but if you want to remember later what it is, make it something you will recognize and remember what its for.
Then that's pretty much it. The conversion will take it from here, it's not too bad in performance. Let me know how it goes.
I now need to go back the other way; ESXi VM, (it is a MS 2003 server VM), to the mentioned MS virtual server, Can p2v converter do this?
piece of cake! One word: Winimage
You select the vmdk OR vhd. You select convert image, it will prompt for both, you choose which one to convert from / to. It's free. no hassle, and it makes a copy, it doesn't actually convert. But the copy is the image version you want.
Google .ovf - it's a open-platform virtualisation standard for virtual appliances. Troy's answer will get you going within VMware. 
I don't think you can use P2V Converter to convert from VMware to Virtual Server (it's not really in VMware's best interests) - I'm not able to find anything that can do that either - Hyper-V, yes... but not Virtual Server.
winimage can do it.
http://www.winimage.com/download.htm
Have you used it? I will try it and let you know how it goes
Yes of course, would I steer you wrong? 
That's how I test my vm images on Hyper vslackerware. It works pretty well. No over complicated methods, just select file and choose format.
I guess I have to shut My VM down on my ESXi server and export the files to my local XP pc and use winimage form there??
Yes, that's correct, it can convert files but unfortunately the VM must be off to do it. Plus winimage is a Windows tool, maybe they will write one for ESX, that would be EPIC!