If the server to be upgraded already runs a Netspan version using SQL Server 2000, DO NOT UNINSTALL SQL SERVER 2000 before installing SQL Server 2005 Express. Netspan’s installation program needs the two products to run "side-by-side" in order to automatically migrate the database from SQL Server 2000 to 2005. The migration is handled in the section Server Installation
From the http://msdn.microsoft.com/vstudio/express/sql/download/ page, click on the 'Install Microsoft SQL Server 2005 Express Edition with Advanced Services' Download link, and save the 'SQLEXPR_ADV.EXE' to a temporary location on the server.
Run the 'SQLEXPR_ADV.EXE' file
Accept the licensing conditions and click 'Next'
Click 'Install'
Click 'Next'
Click 'Next'
Click 'Next'
Type the 'Name' and 'Company' and click 'Next'
Select the 'Management Studio Express' little drop down list and choose 'Will be installed on local hard drive'. That’s the only difference from the Default Settings. Then, click 'Next'
If you are asked to enter an instance's name, type 'SQLEXPRESS', otherwise select the 'default instance' radio button
Click 'Next'
Click 'Next'
Click 'Next'
Click 'Install'
Click 'Next'
Click 'Finish'
Reboot your machine