Sometimes when installing SQL Express the following error message occurs:

The SQL Server service failed to start. For more information, see the SQL Server Books Online topics, "How to: View SQL Server 2005 Setup Log Files" and "Starting SQL Server Manually."

Try the solutions in the order below, until one works:

1)  If you are not in a domain, but in a peer to peer workgroup, you need to install SQL Express as "Local System" instead of "Network Service" or "Local Service" (thru the 'advanced options' check-box in the SQL Express Installation dialog).  If already installed, run the MS Windows "Services" under Windows Control Panel/Administrative Tools and  right click on SQL Server (CAPTOOLSDBINST) and select "Local system" on the "Log On" tab and specify "Local Service".

2)  See http://support.microsoft.com/?kbid=920114

3) Run FileMon and see if SQL Express process is being denied access to files on the disk.

Also see suggestions at: http://sql.veranoest.net/sql_installation.htm