Here is how to set up Microsofts MSDE for personal development.
Download the MSDE from:
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
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.
Make sure both are on automatic.
Next get MSDE Manager free here: (Only free if used for personal use not corporate use.)
Make the folder:
C:\Program Files\MSDE 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.