Make sure to follow the instructions (provided by Microsoft) below:
Instructions
Click the Download link to start the download.
Do one of the following:
To start extracting files required to install MSDE immediately, click
Open or Run this program from its current location.
To copy the download to your computer for installation at a later time,
click Save or Save this program to disk.
If you choose Save this program to disk, locate the file where you
saved it, and double-click the .exe file to extract all files required to
install MSDE on your computer.
After extracting the MSDE installation files, open an MS-DOS command prompt
and change to the directory where you extracted the files. MSDE extracts to
C:\sql2ksp3\MSDE by default. Run the following command to set up MSDE for Visual
Studio .NET. Replace <YOUR SA PASSWORD> with the systems administrator's
password that you would like to use: Setup.exe /qb+ INSTANCENAME=VSDOTNET
DISABLENETWORKPROTOCOLS=1 SAPWD=<YOUR SA PASSWORD>