I haven't taken any of the courses but I have looked into it rather extensively. According to example questions I've browsed on the web the first few classes are not difficult since they are common courses with the MCSE but then they diverge.
The exams get harder as you work towards the end, suffice it to say the last few exams are absolutely advanced level questions. The difficult part is you need to be familiar with not only VC++ but most of Microsofts other development products inlcuding Source Safe, FoxPro, Visual InterDev and other products that I guarantee you haven't used before. You need to be familiar with WINAPI, programming windows without MFC, Windows messaging and especially every little compiler option that can be sprinkled into your code with VC++.
It may have changed, since I'm going on what was happening a year and 1/2 ago. You must complete something like 10 - 12 courses in order to get the certificate. The problem is that each EXAM costs over $100 probably close to $200 for the MCSD, for the certificate after 12 exams it's what $1500 - $2000 you've spent, especially if you had to retake exams you've failed.
It's all about money really, if you want to put down that amount of cash you'll eventually pass it I'm sure. There is no set pace to complete the course, you take an exam every weekend or whatever. They have packages where you can self-learn, structured learning and another type I forget. The cheapest is self and there was no time-table for completion on it as I remember. Whenever you were ready to take the next exam is when you made the appointment.
The trend these days is that it really does not matter at all if you have an MCSD, an MCSE is different though - it seems to help more than MCSD. The ppl who get an MCSD are mainly contractors who can demand more $ due to the cert. and the others who take it are sponsored by there companies to do so as it helps the company obtain more contracts if they have MCSD's aboard.
In my opinion 2 - 3 yrs of actual experience trumps the MCSD cert in most cases. Also, if you have an MCSD and haven't done any major programming, commercial experience, the cert is all but worthless. I'd say get some experience under your belt and then if you want to become a contractor or just want to test yourself and get rewarded for it then I would do it, otherwise wait for an employer to put down the cash. Rocco is the BOY!!
M O T I V A T E!