For those who are new to SQL Server and want some good guides for locking down and security best practise, click "SQL Server 2000 SP3 Security Features and Best Practices". It includes:
•SQL Server 2000 Security Model
•Implementation of Server Level Security and Object Level Security
•Secure Multi-tier Deploymnt
•Checklist: Security Best Practices
The other link you should look at is SQL Server Security Tools.