Ok, if you're an indie developer for the Microsoft platform, then you might have SQL Server (Express) then you might also want to install MS SSMSE (Microsoft Sql - Server Management Studio Express).

The Good

Ok, so you've downloaded the SSMSE install package, and it doesn't install and the MS reference for it is about permissions on the Data Directory. There might be one single file which has the wrong permissions, but I couldn't find one. Installations continue to fail no matter what the install user is.

The Ugly

To install, there is a very simple solution - Turn UAC off - its in the user panel of the control panel. Then installing SSMSE is painless. Just remember to turn UAC back on again after you've done it, oh and pray that you dont need UAC's protection for the few minutes that you had it turned off... (Why do you think this section is entitled "The Ugly"?)

The down-right-Bad

If you decided to go with MS Sql Server 2008 Express because, well, why not... (think of all those new features) then you have a bigger problem. At the moment, SSMSE is only available in the 2005 variant, which does not allow connections to a 2008 Express service.