I don't use SQL Server Express, so I don't know what exactly the install entails. Perhaps the SQL Server Management Studio Express installs some skeleton of Visual Studio for some reason? I have no idea. I'm going to download everything I can when I get home and see though.

I do know this: if you don't recall shelling out a lot of cash for a full version of Visual Studio, then you don't have it. Just open the Visual Basic 2005 Express edition that you dowloaded and that is where you create your projects. From within the VBExpress edition you can also connect to your SQL Server Express databases and work with them.