  At z=0.1055, the gamma-ray burst GRB 031203 is one of the two nearest GRBs
known. Using observations from the Very Large Array (VLA) and Chandra X-ray
Observatory, we derive sub-arcsecond localizations of the radio and X-ray
afterglow of this GRB. We present near-infrared observations of the supernova
SN 2003lw, which exploded in the host galaxy of the GRB 031203. Our deep, high
resolution Magellan/PANIC data establish that this SN is spatially coincident
with the radio and X-ray localizations of the afterglow of GRB 031203 to
sub-arcsecond precision, and is thus firmly associated with the GRB. We use
image differencing to subtract the bright emission from the host galaxy, and
measure the time evolution of the SN between ~5 and ~50 days after the GRB. The
resulting light curve has a shape which is quite different from that of the two
SNe previously associated with GRBs, SN 1998bw and SN 2003dh. With SN 2003lw
securely associated with this burst, we confirm that all three GRBs with
redshifts z<0.3 were accompanied by SN explosions.
