Installing the MSDE
The MSDE is not installed by default when you install Visual Studio. The Visual Studio installer merely copies the setup files for MSDE to a directory on your hard drive. Before using the MSDE you must install it. To install the MSDE you must run the setup from there. By default, Visual Studio setup places the files in C:\Program Files\Microsoft Visual Studio .NET\Setup\MSDE. If you installed Visual Studio in another location, you will have to look for the files there.
Run the setup program by double-clicking Setup.exe. What you will see is a special install for the MSDE. It is different from the install program for SQL Server 2000. Unless you want to install it to another location (due to disk space limitations), accept all the defaults. If you are using the MSDE, make sure the location you install to has plenty of disk space because you cannot choose an alternate location for the data files, and by default they are placed in a subfolder under where you installed the MSDE.
If you already have SQL Server 7.0 or 2000 installed, or have access to a server, you may choose not to install the MSDE. They are functionally equivalent and the MSDE is not necessary. You can still install it if you prefer to work locally or do not wish to use the resources of the server.