Roy, I did this a week ago. My steps were:

1) Backed Up (Full) my DNN database to a .bak file. (I added the extension so the Restore function would see the file.)
2) Created DNN database in SQLExpress by Restoring DNN backup
3) Manually added the database login ID to the SQLExpress Security Users & gave it the password to be in web.config.
4) Manually added the login ID as a in the Database's Security Users & Made DB Owner.
5) Edited web.config connection strings (there are 2) to "Data Source=Server_Name\SQLEXPRESS;Initial Catalog=DNN4;User ID=DNN;Password=xxxxxxx"

Worked like a charm. The restore brings in the stored procedures and everything, except the UserID. I did this because I had been using a Eval copy of SQL Server that Expired. I took the least costly choice.

Hope this helps,

Gary