Full Text Indexing On SQL Express 2005

The key here is that you need to download the version with Advanced Services.
The download size is larger but its worth it for the full text indexing feature.

Detailed instructions can be found at:

http://rpsetzer.wordpress.com/2007/01/24/configuring-and-using-full-text-search-in-sql-server-2005-express-edition/

1. Install SQL Server Express Advanced
2. Make sure that you include the installation of Full-text Search(not included by default)
3. Disable user instances, either by unchecking it at setup or by running
   sp_configure ‘user instances enabled’,0
4. Make sure your database has full-text search enabled, by checking the “use full-text indexing” in the “Create new database” window or by accessing the properties window for an existing dabase, Going to “Files” and checking the “use full-text indexing” option
5. With your database active, run
   
   CREATE FULLTEXT CATALOG MyFullTextCatalog
   to create a full-text catalog.
6. Make sure that the tables that you want to be indexed under full-text search have a unique, non-nullable index
7. Create your unique indexes as follows:
   CREATE FULLTEXT INDEX ON Production.ProductReview(Comments)KEY INDEX ui_ProductReview ON MyFullTextCatalogWITH CHANGE_TRACKING AUTO
   

If you run into trouble check the article link I supplied above there is a lot of info there and a link to a step by step video