Using SQL express database is really simple, if you are already used SQL Server. There is only difference in connection string where instead of Setting Data Initial Catalog, you should set AttachDbFilename with file path to your database mdf file. Data Source attribute has to be changed and in case of default installation of SQL Express that is
.\SQLEXPRESS
One thing about connection is important and that is, authentication must be Windows, SQL is disabled by MS.
If your create setup, in VS 2005 you can add prerequsities in setup project properties, from where you can select many important packages like, .NET Framework 2.0, Windows Installer 3.1, and of course SQL Express.
Look at this article, it's for MSDE but works with SQL Express too.