I got SQL Server 2000 Desktop edition working (see kb article).
On Windows Server 2003, you have to install SP3 (or 4) as a complete package. Windows Server 2003 will not work with an earlier version and warns about it. Check Tim Fessenden's entry in the kb.
I managed to download a full version of SQL Server 2000 with SP3a built in, so I didn't have a problem.
I think that Greg had problems with MDAC dialogue boxes coming up during install. I'm not sure he got over that.
Here are a couple of links that Mark was talking about:
How to make SQL Server 2003 installation truly silent (avoiding compatibility message boxes):
How to Install SQL Server 2000 SP3 Desktop Edition: