I thought MCP was just a generic title that's fairly worthless. If you're going for something specific like MCSE or MCDBA or something like that, then yeah, a cert can help out a bunch and looks great on your resume.
It's not worthless and worth doing but an MSCP is lowest you can get. That's not to say its crap it's just one of the first things you need to do whether your working towards a MSCSD or whatever.
Basicaly 1 exam = MSCP and 3 exams in a similar feild result in a propper, all bells and whistles, MSCP in that feild - such as MSCSD if you were to do software development exams.
I've just completed my ASP.net exam (which my new work paid for). That means im a MSCP with only 2 more exams to become a MSCSD.
It's worth doing because it's one less thing you'll have to do later on - and if your young anything with Microsoft in it is going to look great on you C.V.