Most MSCE training books include step-by-step instructions for building such a lab environment. The actual install of the software is very straightforward -- it should be as simple as inserting the CDs into your computers and rebooting. You should be prompted to boot from the CD. If you do this, setup will launch automatically. The wizard will walk you through the actual install process. Once the operating systems have been installed, you can rely on the help files included with each OS. Good luck!
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