According to the download site http://www.microsoft.com/download/en/details.aspx?id=184

to apply SP4 you would download and run SQLEXPR.EXE or SQLEXPR32.EXE depending on your OS.

Microsoft SQL Server Management Studio Express Service Pack 4 can be found here http://www.microsoft.com/download/en/details.aspx?id=7011 , if required.

It appears that you are attempting to apply ‘Microsoft SQL Server 2005 Express Edition with Service Pack 4’ not just the SP.

SQL Server 2005 SE SP4 will not work on the Express Edition.

Hopefully that helps.