Microsoft SQL Server Desktop Engine (MSDE) offers application developers new opportunities to build desktop and shared solutions that are freely distributable and can be easily migrated to SQL Server 2000.
Note: SQL Server 2005 Express Edition replaces Microsoft SQL Server 2000 Desktop Engine (MSDE) as the free, redistributable version of SQL Server.
The download link will redirect you to the download page on MSDN. Once on that page you will need to select the appropriate language and press the 'Go' button. You will be redirected to the download page for the selected language. Select 'MSDE2000A.exe' and save this file to your harddrive.
Download MSDE
Double-click on the MSDE2000A.exe you downloaded:
Once you have run the self extracting exe (MSDE2000A.exe), go to a command prompt.
Navigate to the directory you expanded the self extracting exe to and change to the MSDE subdirectory.
Type Setup SAPWD=(Some password) SecurityMode=SQL
Setup SAPWD=(Some password) SecurityMode=SQL
The screenshot below shows an example:
You are now ready to use MSDE as your database.
Please refer to the document, Choosing and Using MSDE 2000 as the Database Engine for Your Application.