Strictly speaking you can create a job in SQL 2005 Express as well. All the necessary stored procedures in the msdb are there and you can execute them succesfully. You cannot execute them on a schedule because there's no SQL Agent, but a job exists.
Just try this:
USE msdb ;
@job_name = N'Daily Backup' ;
select * from sysjobs
Exec dbo.sp_delete_job @job_name = N'Daily Backup' ;
I think the question should be in which version can you execute jobs on a schedule.