You can do it either thru Windows Authentication or thru Sql Server authetication.

If you are running any Sql Server EM then you need to register the MSDE server on the EM using the NT authetication mode and once you are connected then I would suggest that you change the authetication mode of the MSDE to mixed Authetication mode as MSDE always defaults to NT authetication mode when you install it(This can also be acheived by opening the SQL.INI file in the installation package and coding SECURITYMODE=SQL and this will change the authetication mode to mixed one and then it will be easier for you to monitor it with even 'sa' username with Blan password).

Also once you change the authetication mode then you can run any batch script to create the user on the MSDE server itself.It has to be coded like: "osql /U sa /P /S(local)---------------"

For an easier administration of the MSDE you can buy "SQL Server Resource KIT" which supplies some tool for monitoring..

Hope it helps