Currently an MCSE (Win2K). Slowly working my way through CCNA at the local community college.
As with studying any subject, the method used will vary from individual to individual. Some people will thrive when studying in groups while others can't stand any distractions at all. I myself tend to fall into the latter group although I am not averse to doing group study.
I achieved my MCSE through a Boot Camp. Because of the time compression, study time was at a premium. What I found worked best for me was to concentrate on the practice tests (we used the Transcenders series. If I missed a question, I would re-read the entire section in the books we used. If I still didn't understand a concept, I would then query the group the next day in class.
The reference material you have at hand can make a difference also. Since you are using New Horizons, you are stuck with the Microsoft Official Curriculum (MOC), which in my opinion can leave a few things to be desired. Unless you supplement this material yourself, explanations of many of the finer points of Win2K and AD concepts can be left out. The Boot Camp I went through shunned the MOC. We used the Sybex series of books as well as an instructor developed curriculum that was similar to the MOC. The instructors methodology was to go over his curriculum during class period and then give us excercises on the material taught. If we ran into problems our first recourse was to look up the concept in the Sybex books. This worked out pretty well. The instructors reasoning for shunning the MOC was (in addition to the outrageous costs Microsoft imposes) that the MOC taught you the things you need to pass the exam, but left out many things you need to know for the real world.
Hope this helps.