What I have put in title, is just a single line on what needs to be done. I will tell you what I did.
I got Microsoft Official Curriculum books. These serve as index.
I also got Microsoft TechNet CD installed on my system. This provides comprehensive help on the subject such as Microsoft IIS Server and also on related material.
I got some CBTs, my copies came from NIIT, where I purchased them for 2750/- each(That was the price that time, I think it has come down a bit now).
I also get some practice tests that come with Prep Books on MCSE(Transcender). I did not try the tests till I felt that I was ready to give actual exam. As I wanted a fair assessment. After taking practice tests, I realized that my preparation was not good enough. So I gave myself sometime to study further, and then took test again. After I was satisfied with my score. I went on to give the exams. Which I cleared.
I have an MCSE in Windows NT 4.0 track.
Best of Luck.