>Is it possible to create a Linked Server in SQL Server 2008 Express? And if so, how?

Yes Possible,
here is a sample code from Cetin BASOZ about it

*!* create LinkedServer
EXEC sp_addlinkedserver
    @server = N'VFP_SERVER',  -- linked server name
    @srvproduct=N'Visual FoxPro 9',  -- or whatever
    @provider=N'VFPOLEDB',
    @datasrc=N'"C:\PROGRAM FILES\MICROSOFT VISUAL FOXPRO 9\Samples\data\testdata.dbc"' -- Your DBC

*!* insert record
select * into customer
From openquery(VFP_SERVER,
'Select
  order_ID,
 Cast(Evl(order_date,Null) As DateTime) As order_Date,
 TRIM(to_Name)
 from customer')

quoted from http://www.fox4um.com/post/9532/#p9532