The other day I needed to connect to my local instance of SQL Server Express 2008, and I wanted to do it without exposing my SQL Server via TCP/IP, (why invite the world to my doorstep if the server is for local use only?). I was having trouble doing so until I found the right syntax at ConnectionStrings.com:
Data Source=.SQLExpress;Integrated Security=true; AttachDbFilename=|DataDirectory|mydb.mdf;User Instance=true;
The key for me was using «.SQLExpress» in my connection string.
The site has a wide range of connection strings for pratically any data source in the planet, head on over and bookmark it, you may never know when it may come in handy!