The first link (MCAD/MCSD Self-Paced Training Kit) is a four book set
that contains the third book you have listed. I read this set when I
took the exams and they definitely helped (and contained discounts for
exam vouchers). The second book you have listed is a nice intro to
ADO.NET, but the other books contain chapters on ADO.NET, so it may not
be too helpful.
If you're new to programming, these books won't provide a good
introduction to things like Object Orientated design, design patterns,
etc. If you don't have a background in CS/CE, reading up on software
fundamentals will help you on the exams and in your career, imo.
Also, MS has new certifications that focus on .NET 2.0,
http://www.microsoft.com/learning/mcp/default.asp, w/c may be of
interest to you.
Good luck,
Carl