I just finished my last exam for my MCSE, and its fairly difficult, and it is expensive in comparison to the A+ exams. Get your A+ for now, and just buy a good book on it, and you'll be alright, follow these great mustanger's advice already posted, and you'll have nothing to worry about.
The MSCE is a different puppy as you require 7 exams to pass to get your certification, and each exam is fairly expensive (canadian dollars that is).
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