Getting your MCSE is good and all, but experience plays the bigger role in any position. Keep in mind that the training courses teach you in a controlled environment. If something goes wrong, you reboot the server and start over. However, in a real situation, a potential employer wants to see proven adaptation to a crisis.
Just like Overclocker, I took the bait of a school hook, line and sinker, and it was an MS training Center! I earned my MCSE, and couldn't get anywhere near 50k a year. What I kept getting is "I'm sorry, we're looking for X years of experience." And they were right (that was about 7 years ago). Fresh out of school, I thought I knew it all. What I didn't realize is that I had absolutely no clue! I found that no network is pure. You'll NEVER administer a pure Windows network (unless of course your client is so small, they only have 5 workstations). Every network I've ever administered has been a some combination of Mac, Unix, Windows, Novell, Linux, Sun Solaris, Mainframes, etc.
That's not to mention types of firewalls (PIX, Checkpoint, SonicWall, Border Manager, etc.), databases (MSSQL, Sybase, Oracle, MySQL, etc.), Web Servers (IIS, Apache, etc.), Authentication types (Actice Directory, NDS, etc.), and a whole slew of software. Being a Sys Admin consists of much more than just knowing Windows.
Don't get me wrong, I think it's a great idea to get your certification. I currently hold MCSE+Internet for NT 4, MCSE 2000, MCDBA and MCSA. I am currently working on my certifications for MCSE 2003. I am a Sr. Technical Consultant/Web Designer/Network Administrator for a software development company now. I am responsible for the hiring and interviewing of any technical positions available with our company. Usually when I see a certification, it says to me that the potential employee has the willingness to see things to the end and to learn new technologies quickly. However, if the experience is not there, how would I know how one of my employees would react when faced with a critical production environment issue?
Like I said earlier, go for your cert, but try to gain some experience. I would advise getting a little experience first before taking your exams. That way, your not taking the exams based on memorization of a book, but rather you would be using your real world experience, which would make them easier.
Either way you choose, good luck, and when you pass, be sure to let us know!
--Andy