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The first thing you need to download is MS SQL 2005 Express Edition. There is one available that includes SP2 which is the newest at the time of this guide. The direct link is here:

 

http://www.microsoft.com/downloads/details.aspx?FamilyID=31711d5d-725c-4afa-9d65-e4465cdff1e7&DisplayLang=en

 

You may have to search their site if the link changes but it is usually easy to find. An optional but recommended application to download is the SQL Server Management Studio Express management tool which can be downloaded from here:

 

http://www.microsoft.com/downloads/details.aspx?FamilyID=6053c6f8-82c8-479c-b25b-9aca13141c9e&DisplayLang=en

 

SQL Server 2005 Express requires .NET 2.0 so please make sure you have that installed before continuing. An easy way to do obtain it is through Microsoft Update.