What do you have .... do you have SQL Server Express or another version of SQL 2005?
If you have SQL 2005 express installed with default location then run the program
"C:\Program Files\Microsoft SQL Server\90\Tools\Binn\VSShell\Common7\IDE\ssmsee.exe"
When it displays ... in the left frame right click on "Databases" in the next menu click on "new" and there you are, just follow the instructions
If everything seems to be going well, you have obviously overlooked something.
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