After installing Visual Studio 2005 Professional Edition, I examined the results of installing SQL Server 2005 Express and found the Pubs and Northwind sample databases were missing. Apparently, you have to install the databases on your own. Here's how:
Go to the following URL and download the installation file (SQL2000SampleDb.msi) onto your hard drive. Although the page title says "Northwind and pubs Sample Databases for SQL Server 2000" they install fine on SQL Server 2005 Express.
http://www.microsoft.com/downloads/details.aspx?familyid=06616212-0356-46a0-8da2-eebc53a68034&displaylang=en.
After you run the SQL2000SampleDb.msi file, the installation process will create the following folder:
C:\SQL Server 2000 Sample Databases
Open a Visual Studio 2005 command prompt (Start -> Programs -> Microsoft Visual Studio 2005 -> Visual Studio Tools -> Visual Studio 2005 Command Prompt and change the directory so you are in C:\SQL Server 2000 Sample Databases. Execute the following lines in the command window to install the databases. The example command assumes the scripts are in your root directory.
c:\sqlcmd -S .\SQLEXPRESS -i instpubs.sql
c:\sqlcmd -S .\SQLEXPRESS -i instnwnd.sql