The other proven method is to get a study partner. You should pick your partners carefully, and if possible get a group of 5-7 people together as a study group. Meet regularly, and discuss exam topics and review questions Set up a lab - even a small one Windows 2000 has some pretty hefty hardware requirements, but 30 GB hard drives are cheap, and you can load multiple versions of Windows 2000 on separate partitions and set up a lab. Set up a domain, configure Active Directory, set up Global Groups, performance monitoring, try some unattended installation, etc., If you are using an approved MCSE study guide, each chapter will have a walkthrough of a particular administrative task that should be performed in your lab. The new Windows 2000 exams feature simulations of actual configuration and administrative tasks to test how well you know the product.
Some people are very bright, but just bad at taking tests.
And some of the test questions can be tricky and catch you off guard. By taking some of the prep tests available, you'll be better prepared for the actual exam and more likely to pass. There are also plenty of free practice exams available on the web. In addition, Sybex and Que make pretty good review guides that are full of sample questions. Well worth the money.