To get past all the beating-around-the-bush, and to help the next very busy Admin who's looking for this same information, HERE IS HOW YOU UPGRADE YOUR SQL SERVER 2005 EXPRESS to SP4:

1. Download the SQLEXPR file (54 Mb or so); yes I know it's the same File name and size as your original, and it doesn't seem to suggest JUST the SP... Do it anyway...

2. I would suggest storing it on the Root of the SQL box you're trying to upgrade, or maybe in C:\TOOLS like I usually do (makes for easier typing, here in a minute...)

3. Log onto that box, run CMD.exe as "Run As Administrator"

4. Navigate to where you stored the Download in Step 1...

5. Copy and Paste THIS WHOLE LINE at the Command Prompt:

SQLEXPR.exe /qb UPGRADE=SQL_Engine,SQL_Data_Files,Client_Components,Connectivity INSTANCENAME=[YOUR SQL INSTANCE NAME!]

-- That's all ONE LINE, even tho it shows here a page break... 1 line...

-- Obviously, insert YOUR Instance Name where it says "Your SQL Instance Name"

-- The rest of the Line stays just like you see it, here...

6. The Setup will launch... Don't worry... It's only going to upgrade the necessary components,

so just follow the prompts...

7. When it's done, you'll be back at the Command window... Exit...

8. To confirm the SP4 Upgrade, log into the Management Studio, launch a new Query, and paste

THIS command into the Query window, precisely as you see it here, no changes:

select serverproperty('PRODUCTLEVEL') as sql_product_level

9. Then click the "Execute" button, and in a few seconds, in a small area near the bottom of the Query window, you'll see "SP4".... Good to go...

I hope this helps someone else who wasted time scouring the Internet for this information.

CLARITY and THOROUGHNESS are beautiful things (and great Time savers).