phpmyadmin to SQL Server
Similar questions are asked regularly on this site. This usually boils down to end of line characters. Is your MySQL Unix/Linux or Windows? Use a hex editor to examine your scripts and see if you can find inconsistencies at line ends.

If this fails, you could take a dump using mysqldump and then use sed/awk/grep (or the editor of your choice - i.e. Notepad++) to put the file into a format suitable for SQL Server Express (dates tend to be the tricky ones here). 

If you can access the MySQL database using phpMyAdmin, you should be able to use mysqldump.