FYI: For those installing MS SQL Express I suggest the following:

1. Create the DB and User log on accounts as indicated in the DNN installation instructions.

2. Change SQL Express to use "SQL Server & Windows Authentication Mode" To do this select the server, right click and select properties. Next click Security. You will need to restart the service after this change.

3. You need to modify the web.config file. The sample connection string is slightly different than what I used below. The sample also uses a .\SQLExpress, you need to replace the [dot] with the name of the server

<add name="SiteSqlServer" connectionString="Data Source=ORIAN\SQLExpress;Database=dotnetnuke;uid=leroy;pwd=xyz123;" providerName="System.Data.SqlClient" />

</connectionStrings>

The above info was derived from other postings within these forums. I just wish to post a clear cut example. It worked for me..