How to install SQL Server Express 2005 with Full text search
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Microsoft SQL Server 2005 Express Edition with Advanced Services
Microsoft® SQL Server® 2008 Express with Advanced Services

Installation and configuration are pretty simple, hope you have already installed express edition. 

Give it a try!  

UPDATE: 2011 - MARCH - 08

You will not be able manage Full Text Catalogs via SSMS. 


  SQL Server Management Studio Express  
  
  
  You cannot update the full-text catalog by using SSMSE. You can use sqlcmd utility or Windows Scheduler to update the full-text catalog.