SQLEXPR.EXE or SQLEXPR_ADV.EXE, are the full installers that support x64 systems. In order to download 64bit versions of SQL Express, check these links:
For the 64-bit install of SQL Server 2005 Express Edition, click here
For the 64-bit install of SQL Server Management Studio Express, click here
Steps to install SQL Express 64-bit on a Vista 64-bit machine:
1. Go to Add/Remove programs and check for an entry for SQL Native client. If there exists one, uninstall.
2. Install the 64-bit of SQL native client from over here X64 Package
3. Then download the Express Editions and Management Studio from the links given at the top.