Is it possible to use SQL Dependency with SQL Server Express 2005 which comes with VS 2008?
This article suggest that it will work fine as long as the express edition database is a named instance:
http://www.code-magazine.com/article.aspx?quickid=0605061&page=5
HTH
Yes. It works fine with named instances as well as default instances, on any SKU (Express, Web, Developer, Standard, Enterprise and Data Center). You can read The Mysterious Notification to understand the underlying mechanism that powers SQL Dependency.
When you open a database using the connection string option AttachDBName you are using a User Instance (aka RANU). The user instances attaches the MDF file using and by default a newly attached database will disable Service Broker in the database. Because the Query Notifications use Service Broker to deliver the notification, it implies that a database with Service Broker disabled cannot create a notification subscription, unless it takes the necessary steps to re-enable Service Broker.