First,

Pubs is no longer included with SQL Server. You'll need to download it separately.
http://www.microsoft.com/downloads/details.aspx?FamilyId=06616212-0356-46A0-8DA2-EEBC53A68034&displaylang=en

Second,

Download and install SP1. It includes a new SQL Express manager that will make things much easier.http://msdn.microsoft.com/vstudio/express/sql/download/

>I have successfully installed SQL Server Express 2005, but trying to set up a new data source to SQL Server is nigh to impossible.
>
>I was on the step where you click next for the Windows NT Authentication using the network login ID when this failed. In the previous part I had selected "pubs" for the Name of the new data source. I wrote in "Pubs" as the description, the when I went to select "local" as the server, I saw all these other servers on our domain/network, but "local" was not an option. Why was "local" not there?