Installing SQL Server 2005 Express Edition is very easy .. I'll suggest downloading and installing the advanced edition as it ships the management tools and services like Indexing and replication. Once you have SQL setup you'll need to enable remote connections over TCP/IP and just configure DNP to use the instance name.
You can google on installating SQL Express and I am sure you'll find a lots of helpful hits.
Rubal Jain // Email - Rubal @ Rubal [dot] Net
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