If you want to create an "installation" CD for your users, you can try to use a ".bat" file which installs the MSDE and then run .sql scripts useing OSQL.
for example, in the MSDE installation folder create "install.bat" contaning:
setup.exe SECURITYMODE=SQL SAPWD="mypass" TARGETDIR="C:\program files\MSDE\" /L*v %systemroot%\MSDELog.log DISABLENETWORKPROTOCOLS=0
(DISABLENETWORKPROTOCOLS=0 means that msde can be accessed from the network (if you need that)).
and then,
osql.exe -U sa -P "mypass" -i .\scripts\CreateUsers.sql
if you want to use a named instance, look for the relavant parameters.
hope this will help you.
yoav S.