Here is how to set up Microsofts MSDE for personal development.

Download the MSDE from:
http://www.microsoft.com/sql/downloads/2000/sp3.asp
Select ‘SQL2kdesksp3.exe’ and save it to your computer.

Double-click on the SQL2kdesksp3.exe you downloaded.

Once you have run the self extracting exe (SQL2kdesksp3.exe), go to a command prompt.

Start > Run > cmd

Navigate to the directory you expanded the self extracting exe to and change to the MSDE subdirectory.

The default is C:sql2ksp3

Type Setup SAPWD=(Some password) SecurityMode=SQL

Example:
c:sql2ksp3> Setup SAPWD=password SecurityMode=SQL

After that gets done running, MSDE is installed.

To get the SQL Server running and the SQL Agent we need start the services.

right click My Computer > manage > services

Double click the following and set to Automatic.

MSSQLSERVER
SQLSERVERAGENT

Make sure both are on automatic.

Next get MSDE Manager free here: (Only free if used for personal use not corporate use.)
http://www.whitebearconsulting.com/Utilities.htm

Make the folder:
C:Program FilesMSDE Manager

Extract files to that folder.
Open the folder and Oppsite click the mouse and drag to the desktop and select create shortcut here.

Restart your computer.

You should now have MSDE running and ready to go to start using. Use the MSDE Manager to do your basic SQL Server things.

Also you can install the Enterprise manager that Microsoft makes that makes database administartion super easy. Get SQL Server Trial software here:
http://www.microsoft.com/sql/evaluation/trial/

Then you need to go through the install setting up a new isntance of SQL Server do a typical install. Then when it asks you if you want to install SQL Server plus components, or components only just install the components. continue through to the end and voila it is installed. Now you have an excellent GUI for all your Database adminstration tasks.

Have fun.