I am just starting to train for the MCSE exam. What would be the best training/certification in security?
If you want to combine an interest in security with pursuit of the MCSE, I urge you to consider taking the 70-220 exam for your Core Design exam requirement (the title of this exam is "Designing Security for a Windows 2000 Network"). Likewise, you should also take 70-227 "Installing, Configuring and Administering Microsoft Internet Security and Acceleration (ISA) Server 2000, Enterprise Edition" because of its attention to security matters.
If you really want to become an expert in Windows security topics, however, don't stop with the MCSE. The SANS Global Information Assurance Certification (GIAC) is a great program that supports a specialization in Windows security topics, and if you ask me (and I assume that's what you're doing ;-) they do a much better job of dealing with basic lockdown, port-closing, hardening and security monitoring and maintenance topics than any elements in the Microsoft curriculum do.
That said, if you visit www.microsoft.com/security/ and dig your way through the wealth of information available through that site, you will find an amazing amount of useful, cogent information there to bring to bear on Windows security issues.
For more information on this topic, visit these other searchSecurity resources:
Best Web Links: Securing Microsoft Applications
Online Event Archive: Securing your Windows 2000/NT infrastructure
Executive Security Briefing: The answer to recent Microsoft vulnerability alerts? Experienced security pros