Visual Studio 2005 I connect with SQL Server Express edition with SQL Server Management Studio Express using Windows authentication.
When I installed Visual Studio 2005 I didn't get asked for SQL Server Express edition user name or password. How can I connect without Windows authentication ?
Go to the File Menu and select "Connect Object Explorer..."
Install the latest SP for Express and this will add the user provisioning for Vista that will make you an administrator on the Express instance. Otherwise you'll have to do it the hard way, see Troubleshooting: Connecting to SQL Server When System Administrators Are Locked Out.
Once you fix your administrative privileges back on the instance, you can start adding SQL Logins. You are going to have to enable Mixed Authentication before these logins can be used, see Authentication Mode (SQL Server Express).