Yes, the labs have you do exercises in a live environment. The labs assume you have 2008 R2 installed and walks you through promoting that to a Domain Controller, form there installing ADDS and then configuring ADDS on the server. It will also have you configure client machines so that you can see the results of GPO placed on groups in AD.
I bought the pack that came with 4 books and a server 2008 R2 CD with a 30 day evaluation. I installed it on a virtual machine (Virtual PC 2007) and configured it that way, then had other client PC's on Virtual PC that connected to the domain i created from the server 2008 install.
You could install it on a physical machine and do the same thing, just not as easy because unless you are using a hub / switch you will have to configure your router so it doesn't block the broadcast.
Edit: Checked the book i referenced for you - i don't believe it includes the software, this is the pack i bought:
BARNES & NOBLE | MCITP Windows Server 2008 Enterprise Administrator: Training Kit 4-Pack: Exams 70-640, 70-642, 70-643, 70-647 by Dan Holme, Microsoft Press | Paperback