The SQL Express 2008 Installation Package (Express Wrapper) is no longer available. Currently the best way to install SQL Server Express is to use Web Platform Installer.
FYI: SQL Server MVP Andrea Montanari has posted his own summary of the experience of using this tool including screen shots of the UI. A quick and useful read to get you familiar with the tool.
The SQL Express 2008 Installation Package (Express Wrapper) is a new utility we've created to help customers who are installing SQL Express 2008 from the web. Following the lead of products such as the .NET Framework and Visual Studio Express, we've created a wrapper that will streamline installation of SQL Express from the web. If you just can't wait, you can jump to the SQL Express download page and get started right now. If you're interested in learning more, read on.
The Express Wrapper has a very simple goal: reduce the complexity of installing SQL Server 2008 Express from the web by assisting customers with the installation of the SQL prerequisites. We stuck to that goal and followed the principle that the simplest solution is usually the best. You'll see this principle in how the Express Wrapper is focused on doing the hard work of finding the correct prerequisites but not replacing the entire SQL Server installer experience. The Express Wrapper does the following:
Using a wrapped installer approach gives us two primary advantages: first is that you only have to find one thing, the wrapper, in order to install SQL Server Express, the wrapper handles downloading everything else. The second advantage is that we can keep the size of the SQL Express package small by not including any of the pre-requisites while still ensuring that any missing prerequisites are downloaded and installed when needed without extra effort on your part.
Running the Express Wrapper
It's pretty straight forward, otherwise what would have been the point of building it? Here is the process you'll go through:
Express Wrapper Architecture
The Express Wrapper is actually made up of two components:
The Express Wrapper program files and the downloaded prerequisites and SQL Express installers are cached onto your computer in a location determined by the edition of your operating system:
Program files and log files are stored in a folder named based on the timestamp at installation, such as \2008-08-15_10-19-18-318 and downloaded files are placed in \Downloads folder.
Troubleshooting Installation Problems
As much as I'd like to believe things will work 100% of the time, reality has a way of destroying my illusions. As such, we've ensured that the Express Wrapper creates a verbose log that not only tells you what is happening at each step of the process, but also surfaces errors that are returned from the individual prerequisite installer and the SQL Express installer. If you run into problems while using the Express Wrapper, your first stop should be the \Logs directory located in the directory where the wrapper program files are stored. Examine this log to determine if there are any errors happening in the Express Wrapper, such as failures to download the required installer packages. If there is an error coming back from one of the wrapped installers, the next step is to examine the logs from that installer. In some cases, the Express Wrapper is able to collect logs from those installers and place copies in the same \Logs folder, so be sure to check there first. For SQL Express primarily, there are many different logs so you'll likely need to go to directly to the setup logs default location which is at C:\Program Files\Microsoft SQL Server\100\Setup Bootstrap\Log. At this point you would just follow the same process you'd follow to troubleshoot any SQL Server installation failure, the Express Wrapper runs SQL setup the same as if you had double-clicked the file. Check out the KB Article, How to troubleshoot SQL Server 2008 setup issues and the BOL topic How To: View SQL Server 2008 Log Files.
You can always post questions about anything SQL Express related to the SQL Express MSDN Forum.