exactly how i did it as well! But it was a pirated copy of visual studio (6?) and it came in 6 CDs. I had no idea what it actually was, and just installed it and played around.
I'm so glad that i bought those pirated CDs off the street - it was a huge stack of disks for like $50 bucks, and it included a bunch of pirated games, pirated encyclopedia (brittanica at the time iirc), various music software (cakewalk pro, not that i ever used it).
There would not have been a chance in hell i'd discover these things by myself.
But later they switched to new format of MSDN and old IDEs can't use them. And there was some add-on that allow to old IDEs to use new MSDN format.