Take a look at the exam track you want to pursue. This site should help:
http://www.microsoft.com/learning/mcp/mcse/Default.asp

Then, take one exam at a time. Some are tougher than others, and some contain a lot of information that you'll find in others. This can make sequencing important. Google MCSE and look at the various resources available. There is a lot of good information and advice, and some not so good.

You learn a lot in the process, so no certification program is a waste of time and effort.

Remember, the exams and books are based on "whitepaper" systems. You rarely find those in the real world. So, when you are prepping for an exam, set up a system that will help you run through the exercises and provide the standard feedback you would expect in a whitepaper deployment. You can use the eval of VirtualPC and VMWare's free player to create and run your "prep" systems as virtuals, and that may help those who can't afford to build and tear down multiple hard systems.