Looks like you missed one of the requirements listed in Chapter 1: SQL Server 2008. The error message suggests you're running SQL Server 2005 Express, and not 2008 Express.
1. Uninstall 2005, reboot and reinstall 2008 (using the Web Platform Installer for example).
2. Ignore the databases that ship with the book, create your own (as explained in the book) and insert your own test records.