there are also websites that advertise discounts for cert vouchers... Matt correctly notes that buying a couple PCs, a hub/switch/router, some cables, and some eval software to go along with the books is the best way to study...
Nothing beats hands-on when you get to the trick questions...
Setnaffa is an MCP-W2K (working on MCSE-W2K) with a few other certs, too...