Do you currently have SQL Server installed on this SBS Server? If so, use that instance to install the BESMgmt database to. If you do not and / or it isn't a part of the SBS version you have , download MSDE2000 Release A (google it) and you'll need to run the installer from the command prompt with the following command string:
setup.exe SAPWD=SAPasswordThatyoupick
The installer will go through quietly ... then when you do the BES install, use local for the database location name (but remember you already have SQL installed at this time so no need to install MSDE) (You can also download MSDE 2000 SP4 if you want)
Then, download and install
DbaMgr2K to manage the MSDE instance