Cannot add a SQLExpress Database to a VB2005 project

I've been going through the VB training videos and reached the one on databases. I installed SQLExpress but when I try to add a database to a project I get the following error.

Failed to generate a user instance of SQL Server due to a failure in starting the process for the user instance. The connection will be closed.

I have an up-to-date XP system with .NET 2.0 and VBExpress2005 that works fine.

Any ideas?

[438 byte] By [malindor] at [2007-12-22]