Very Important Inquiry. Please Help

undefinedHello,
I am new to this forum & VB .Net. For several years I worked as an IBM mainframe programmer. Now I am in the process of learning VB .Net.
On my computer I have installed 'VB .Net Professional 2003' , as per your suggestion I downloaded '101 VB .Net examples' & MSDE. When I tried to execute the example 'Data Access - Data Entry Form' I got following messages.
1. First I got a message box saying "Connecting to Server"
2. Then I got following message...
"To run the sample you must have SQL server or MSDE with Northwind database installed. For instructions on installing MSDE, view the readme file"
Now I know for sure that I have downloaded & already installed MSDE. Also as per the readme folder I am not able to find following path.
C:\Program Files\Microsoft Visual Studio .NET\FrameworkSDK\Samples\Setup
I will appreaciate if any you can help me with this problem.
Thanks in advance. :