I don't believe the 03 has an EGR system. No EGR pipe coming off the exhaust leading back to the engine.
EGR stands for Exhaust Gas Recirculation, therefor it has to have some sort of path to come back to the chambers and a valve to control it. Unless Ford decided to put all of that inside the block, there's no EGR system.
There's three main parts, I believe. The DPFE sensor and it's two hoses, the EGR pipe coming off the manifold, and the EGR valve. The pipe is the return route for the gasses, the valve is how the gasses are controlled, either by vacuum or electronics, and the DPFE is what tells the valve to open or close depending on how much vacuum is applied to one of it's hoses. I've seen this part before, but I don't know what it's for, although I can say with reasonable certainty it has nothing to do with the EGR system.
Try searching the part number on rockauto there on the cap and see what you get.