SQL Server Agent is not an available feature in the Express edition, the service default is disabled.

Ref: http://msdn.microsoft.com/en-us/library/cc645993%28v=sql.100%29.aspx

To connect to your local named instance:

Server type: Database Engine

Server name: .\SQLEXPRESSJD

Authentication/login/password: As per configuration when installing. Try Windows Authentication first unless you are absolutely sure you have configured an SA user and password.

Note: Server name field is "dot, backslash, instance name".