Here’s another time-saving tip. If you select Windows Authentication when installing SQL Server Express 2005, and you need to change it so it allows SQL Server Authentication later on, all you need to do is change a registry key. To do this, shutdown all SQL Server-related services, run regedit32, and in the registry key HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Microsoft SQL Server\MSSQL.1\MSSQLServer, change the value of LoginMode to 2.
Restart all services, and that should do the trick. You can get more information in this KB article (talks about MSDE/SQL Server 2000, but it also applies to SQL Server Express).