>The book walks me through setting up a connection to Northwind, yet in the ODBC
>Dialog, when I get to the database combo, under the "Change the default database to"
>checkbox, Northwind is not in the list.

I just checked on mine, and neither Northwind nor pubs installs with MSDE. You can get the install script for pubs from http://p2p.wrox.com/topic.asp?TOPIC_ID=1778, but I don't see the install script for Northwind posted anywhere obvious. You can feed the pubs script into oqsl.exe to create the database.

>One other note:
>On the page of the ODBC dialog where it deals with authenticity, if I select
>"With SQL Server authenticity...", I get the error:
>
>Connection Failed
>SQLState '28000'
>SQL Server Error: 18452
>[Microsoft][OSBC SQL Server Driver][SQL Server]Login failed for user 'sa'. Reason:
>Not associated with a trusted SQL Server connection.
>
>So I used "With Windows NT authenticity..."
>
>And I thought this was supposed to be easy?

Not easy, just free. :-)

If you're really committed to making this work, I'd suggest spending the $50 to get SQL Server Developer Edition -- that will give you the graphical tools you need to work effectively with MSDE. It will also give you Books Online, but you can read those over the web.