I tried it on WinXP SP2 and it was the same as on Win2k3 Server. The Setup failed to start the SQLServer-Service and then rolled the install back.
Although this time it could be my fault, because I didn’t install on a clean machine. I previously had SQLExpress Beta 2 and Beta 1 of Visual C# Express on this machine. Of course I removed everything very carefully before trying to install .Net Beta2 and SQLExpress April ’05 CTP.
Well, it looks like Microsoft got some serious homework to do there…