Hawkeye_DBA
SQL Express has a unique database setting, which I believe is new to sQL 2005 ... here is a link to check if this is your problem.
http://technet.microsoft.com/en-us/library/bb264564(SQL.90).aspx
From the above:
The sqlservr.exe process that is started is kept running for a while after the last connection to the instance is closed. Therefore, it doesn't need to be restarted if another connection is opened. The length of time it stays around is set by the sp_configure option "user instance timeout". By default, this is set to 60 minutes but you can use the sp_configure command to change this.
From SQL 2005 Books On Line:
The User Instance Timeout option that you can access through sp_configure is not supported in Microsoft SQL Server 2005. This option works only with SQL Server 2005 Express Edition (SQL Server Express).
Further:
sp_configure ‘user instance timeout’
sp_configure 'show advanced options', 1;
RECONFIGURE;
GO
sp_configure 'user instance timeout', 5;
GO
Where 5 is the minimum value and 65535 is the maximum value.
You need sp_configure ‘show advanced options’ to view and set the timeout. For more information about show advanced options, see Setting Server Configuration Options in SQL Server 2005 Books Online.
You can set the user instance timeout in both parent instance and user instance.
When a user instance starts, it always gets the time out value from the parent instance. However, once the user instance starts, it can use the sp_configure to change the timeout value that is valid only for this specific instance.
Check out that value and see if it could be the cause of your problem.