When I follow the steps you describe here:
Chapter 12 Can't access PlanetWrox.mdf
I changed "SQLEXPRESS" to "localhost,3432" under Tools | Options | Database Tools | Data Connections since that is what I use in the connection string for the database that works on my local instance of SQL Server Express 2008
Then I get a different error message:
"Connections to SQL Server database files (.mdf) require SQL Server 2005 Express or SQL Server 2008 Express to be installed and running on the local
computer. The current version of SQL Server Express can be downloaded at the following URL: http://go.microsoft.com/fwlink/?LinkId=125883"
Does this help you help me at all?