The first things to check:
-is the sql express set up to accept a remote conneciton (if you are connecting from a machine other than the same one as the server)?
-do you have the right drivers installed on the machine that you are accessing from? (it's call SQL Native Client or SQLCNI - the SQL server driver won't work right)
If those seem ok:
-have you tried creating a DSN to check for basic connectivity?
-have you tried a different machine (or the same one as the sql server)?
if this doesn't help, please send more information. Where are you connecting from and to, what connecting with and anything else would help.
I've found that 90% of my problems will be found in one of the steps above, so I hope it helps you.