And now the explanation. I have seen a fair number of folks having problems getting data dude running because by default it looks for a named instance of SQL Express. (I actually hit this myself when I started playing with it but I was lucky enough to be able to go bug the guys on the team).
The instance name setting can be changed here;
Tools|Options|Database Tools|Data Connections
Just put the instance name in there (or leave it blank for default instances) and you are good to go.