I haven't taken my MCSE's yet but I did spend some time looking into this. The concensus seemed to be that you do not have to take these classes. I got the impression the majority might get you through the test, but that the lack of depth will leave you without a genuine understanding of the topic. Also, the 2000 MCSEs are supposedly harder than NT4, and so require an in depth understanding rather than learning by wrote and then spilling your stats onto a page at exam time.
I bought a couple of books on the subject. Both SYBEX and NEW RIDERS publish lots of books on it which are good.
I would suggest getting the books. Install the OS (or install it several times using V[irtual] M[achine] ware on the one PC - look this up on google if you don't know what it is).
Anyway, I didn't go down this road after deciding my interests lead elsewhere. From what I hear and see it seems like the MCSE has been devalued as so many people have it (this is why they made 2000 harder). I know that all the contractors who left our company recently had real trouble getting more jobs due to the slack market right now. They all had MCSEs so don't think you can stroll into a job with one (especially with today's IT job market).
I'm sure others may have different opinions/experiences too. Anyone sat the 2000 exams??? Tell this guy about them!
good luck holycow!