SQL Server 2005 Express in VMware causing very high CPU load
I found an article that might be of help.  

Edit: The link above is now dead, but the Wayback Machine has a copy here.

The blog post states that


  Finally we have identified the root cause of the issue is due to the activity on the database causing heavy usage of MARS [Multiple Active Result Sets]


which was a feature introduced in SQL Server 2005 (ref: here).