I been having a problem connecting to SQLServer 2008 Express with DotNetNuke. During installation it would get hung up and I'd have to force the interface to close through task manager. I think I know the problem, if you are also experiencing difficulty.
I went to the Microsoft site to try to install Sql Server express and found that the download crashes because of a corrupt file. The MS Web Platform installer is likley not reporting this and crashing without any warning so the installation is not completed. I'm guessing, but it is something to consider.