First, it was the database cluster issue. One of the SMS 2003 webcasts said it did not support SQL DB cluster. I could not believe it. I thought how could it know... as long as it supports the database on a different server (which it does). But the webcast is right. The problem is that it cannot talk to a SQL cluster named instance. The installation only allows me to enter a 15 character remote SQL server name (obviously, it is a netbios name). There is simply no where I can specify a particular named instance. So, my choice is to install a standalone SQL 2000 server onto my SMS server.
Then it was the SQL 2000 and CA issue. It just happens that my SMS-server-to-be is also our private Root Certificate Authority server. It's our utility/ support server, of course. But SQL 2000 (before SP1) does not support installing onto such an environment (KB 302409 refers). The problem is fixed in SQL 2000 SP1, but I need to find a way to slip-stream the latest SQL service pack onto a SQL server installation package in order to proceed.