Being somewhat of a noob myself I hope this is right!
With the express version of SQL2005 there isnt a database engine to connect to. What I think you need is a developer copy of SQL server 2005. You can, on last look, buy this for about £40 from most software sellers and this allows you to have a full install (inc. Engine) but only licences it for 'Development Purposes', so no commercial use is allowed. This will then give you the front end 'login' screen that you are expecting.
I beleive the point of SQL2005 express is to allow people to bundle a DB into a peice of software where the end user probably won't have an RDBMS to use.
Hope this helps!
RNDnick.