I've written extensively about this subject elsewhere. I did an MCSE Study Guide insert for "Certification Magazine" for their May, 2002, issue that you can access at http://www.certmag.com/issues/may02/sg/. Also, you may find the information on the MCSE program at http://www.leapit.com/html/cert_essentials/c02-01.htm useful as well (you may need to sign up to get an account and password to access this information, though).
The short answer to your question is: use a study guide, practice exams, and some kind of pointed exam review book (like an Exam Cram) to get yourself ready for each exam, but don't spend the US$125 per exam with Prometric or VUE to take a real exam until your scoring on practice exams is in the 80-plus percent correct range.
This was first published in July 2002