I was reminded a few days ago about an article that a former coworker of mine, Phil McCollum, wrote for .NET Developer's Journal a few years ago. The article is titled MCSD .NET Certification and covers the seven core concepts that you'll need to know in order to pass the core MCSD .NET exams. Phil offers some solid advice on where you should focus your efforts when studying for these exams. The seven core concepts that he mentions are:

ADO.NET
Security
Debugging
Web Services
Events and Error Handling
Internationalization
Assemblies/GAC

Read more about these concepts here.