I still get confused with the MSDN pages myself.
If you search at Amazon for SQL Server Express books, you'll find a number of books that get you started. Probably they have the same software on CD behind the back cover - more importantly, should be a general introduction to SQL Server.
Overall, you can make a distinction between SQL (a language used for interaction with relational databases), and an RDBMS, or relational database management system. SQL Server, Oracle, IBM, and so forth all provide tools for creating and managing databases - this is the part that tends to be a little different in each system, and also can be quite complex as it comprises everything related to storage management, users, network services, backup and restore, and so on, as well as enhancements to SQL for programming databases.
In other words, you need to know SQL (a basic tool for working with your data). And you need to know a little about the database system you are working with - in this case, SQL Server. The express editions are often much like the full-blown enterprise editions, but generally are limited to a smaller size (maybe 2-4 gigabytes). Nevertheless, they do get you up to speed pretty well though, and SQL Server Express is used by a beginners to pros alike.
Hope this helps,
Alex