Most places look for experience to go with the certification. No experience, then you're just a "Paper MCSE", and won't be able to get the higher paying jobs.
My company doesn't care about the MCSE. You got it, fine. Don't, fine. As long as you know how to do what we gotta do, you're fine. But we're not a 100% Microsoft place either, so that may make a difference.
Friend of mine got his MCSE and promptly took a job supporting Cobalt RAQs in a web hosting company. Doesn't use the Microsoft skills at all.