I can't help you specifically with SQLServer 2005 Express, I am running SQLServer2005, but here are some ideas you can try.
If you installed SQLServer2005Express under your own account, try doing the example w/o a username and password. If your SQLServer is set up to use Windows security, and you installed it, it should let you connect automatically.
If your SQLServer is set up to use SQLServer security, you may need to open up SQLServer and set up an account.
Another way to figure out the connection string is to use the wizard in VS2005 to set up a data source in your project, and then go look at the connection string created for that source. You have to know where the mdf file that contains the data resides on your computer.
According to another
VB book I have, in VS2005:
Go to Data --> Show Data Sources to display the Data Sources window.
Click on the Add New Data Source button (icon).
Select Database as the data source type on the next screen and click <Next>.
When the "choose your data connection" dialog appears, I think you can go look for the .mdf file for your database and select it, unless it's already displayed.
Then you should be able to save (and hopefully test) your connection string.
If you can connect this way, look in the app.config file and find the connection string (look for "connectionString"), and then paste that into your code and try it.
It's sneaky, but it usually works.
irish_songbird