Hi Dan,
You are right. There are many errors in the Microsoft Course Book for 70:536 and all other MCTS and MCPD books as there have been in the books for previous versions of .Net. Additionally these books are not for Beginners in .Net. They have been designed for Developers who already have experience working with .Net 1.1 and want to upgrade. The best books for Beginners are the ones from Wrox Press. None of the CDs that come with the books contain the IDE / Development Environment for practise. The CDs contain EBooks and some other material. However, i think there is a free developer version (not the full version) available on the microsoft site.
I know how you feel. I was a beginner too--once--long ago. But now i am certified for 11 Microsoft Exams. And Certification has helped me a lot. Certification is certainly a huge plus when you are looking for a job with the best IT companies. But heading towards the Exams without proper guidance and preparation -- will surely lead to Failure.
If you need any more information/clarification, please dont hesitate to post it here.