MSDE is the desktop version of SQL Server. It is limited in terms of only 2 Gb per database, and only 5 simultaneous active spids per instance, but those are the only significant limitations.
I don't remember if BCP is included in the executables, although OSQL.EXE definitely is. The Transact-SQL BULK INSERT command works just fine, and is simply a different interface to the same API that BCP uses.
DTS works on an MSDE instance without any reservations that I know of, other than the limitations imposed by MSDE itself.