MSDE (now in version 2000) is the data engine behind MS SQL Server.
It's free downloadable from MSDE 2000 Downloads.
Run the installation file and restart. The MSDE should start as a service and display an icon on the tray. After a couple of seconds the icon should change from the inactive server image to the active server one.
It doesn't provide a graphical interface, only a command line.

MS provides some kind of graphical administration for MSDE with the Web Data Administrator.
It's free downloadable from SQL Server Web Data Administrator.
It is a aspx (.NET framework) based web application so you have to configure IIS and the NET Framework properly.

The framework is part of the OS and you can have it running a Windows Update or by downloading it from How to Get the .NET Framework 1.1.
Once you have it you have to sure to install and register it (see How To Repair IIS Mapping After You Remove and Reinstall IIS).
Basically the procedure is:

1. Run
   "%windir%\Microsoft.NET\Framework\version\aspnet_regiis.exe" -i
   from the command line where version is the name of the folder containing the last version of the framework. You can identify it by taking a look to the folders there and using common sense.
2. Run
   regsvr32 %windir%\Microsoft.NET\Framework\version\aspnet_isapi.dll
   from the command line to register the dll.
3. This should register aspx pages with IIS. You can check it (or see Troubleshooting the Site Starters (ASP.NET)):
   1. Control Panel
   2. Administrative Tools
   3. Internet Services Manager
   4. On the left sidebar, expand your Web server and click to highlight Default Web Site
   5. Click the Properties button in the toolbar and click the Home Directory tab
   6. Click the Configuration button
   7. Scroll through the list to find the .aspx extension
   8. If it is listed, then your system is set up properly