I would recommend these instructions:
...and then you could do a clean install of 2003 and restore your EPO files and database. You could test this on a VM machine before hand.
I've done a 4.0 to 4.5 upgrade, no problems. Use the above guide to take a backup of all the EPO components just in case.
Any idea on how to migrate from MSDE to SQL Server?
Shouldn't be a problem, as MSDE is just SQL Server "Lite". I would expect you could use SQL Enterprise Manager to take a backup from your MSDE instance, and then use it to restore into your new SQL Server instance.
Just noticed you refer to "SQL Server 2003", I presume you mean 2005?
Was rushing to get this posted.
I successfuly migrated Epo 4 from MSDE to SQL 2005. I created new instance called EPOSERVER1 and changed to same in epo configuration page.
However when i stopped MSDE service the EPO does not start.
I found that the Mcafee services are still dependent on old MSDE service.