Get yourself 3-4 computers, set them up in a LAN, 2 servers as DCs, 1 server as an ordinary member server, 1 running the workstation OS that you are using (either XP Pro or 2K Pro).
Alternatively, use Virtual PC on a large system and have them running simultaneously with a network in 1 PC.
Go through the exercises in the MS training kit and make sure you understand everything they ask. Do what is asked in the practical exercises plus modify the tasks so that you understand the concepts, and do more than is asked (for example, in my XP Pro book, it makes a lot of noise about creating a password reset disk for security reasons, but doesn't ask you to create one as part of the training).
John