From the download page on the page you linked to:
After downloading SQL2000SampleDb.msi,
extract the sample database scripts by
double-clicking SQL2000SampleDb.msi.
SQL2000SampleDb.msi will extract the
database scripts and this readme file
into this default folder: C:\SQL
Server 2000 Sample Databases
I didn't download it to see what gets extracted, but I'm betting there's a script or two that you can run to create the database. Probably a *.sql, that you can open and run in a query window.
EDIT: I just downloaded and extracted. It looks like all you need to do is execute the contents of instnwnd.sql (which should be in C:\SQL Server 2000 Sample Databases). Open a new query window (in SSMS etc.), load the file, and press F5.