One of the easiest things to do is to get a nice fresh copy of it from the following URL...
It'll download everything you need to C:\SQL Server 2000 Sample Databases
Open the instnwnd.sql file, change all references to Northwind to (say) PlayWind and all references to Northwnd to PlayWind. Execute the script to make a new DB called PlayWind.
The download takes all of a minute with DSL and the installion of the new DB takes less than 10 seconds.