So you've been working with SQL Server for almost two years now?
And you've installed SQL Server a few dozens of times?
And you've passed 70-728 with more than 900 points?
Believe or not, but you still may encounter some problems while installing MSDE. Firstly, there is no wizard; you need to execute setup.exe with appropriate parameters from command-line. And secondly, if you install MSDE using only SAPWD and INSTANCENAME parameters, it will later run in Windows Authentication mode, despite the fact that you have to provide an sa password.
If I had found this article yesterday, it would have saved me a lot of headaches. I didn't, so I had to work it out all by myself. I learned a lot.