I know it's been said a lot, but I highly recommend the TestOut training series. Their web site lists it at $1999 for the MCSE set, but if you keep an eye out you can usually get a special for around $500 or less. If your employer pays for training then you might be able to get them to pay for it since a single weeklong class usually runs $2000-$2500, the TestOut material would be a bargain. Not only does it come with the core MCSE prep material, but it also includes material for a lot of other exams (CompTIA + other MS exams).
At any rate, I have been working towards MCSE:Security and have used only work experience and the TestOut material to prepare. I only started getting certifications about 2 months ago, but so far I have passed the 5 CompTIA exams in my sig (2 exams needed for A+), the 70-270, 70-290, 70-291, 70-299, and I'm sitting the 70-293 in about 3 hours from now and feel very prepared. My scores have ranged from 850-950.
If you don't have a lot of work experience with the software then you might need a little more work than just TestOut to get passing scores, but I think that for most people TestOut will get them most of the way there.
For any additional help I would recommend downloading VMWare server or MS VirtualPC and getting a evaluation/demo copies of Windows Server to play with in the virutal machines. IIRC, the demos are good for 90 days (definitely at least 30) which should be plenty of time for you to get familiar with everything.
Then there are always the MS Press materials, which are very thorough, though more expensive than getting a stack of TestOut CDs.
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CompTIA A+, Network+, Server+, Security+
MCP, MCSA:Security 2003