In order to install the SQL 2005 Express edition with Reporting Services you have to have IIS properly installed. It's not enough to just install it and be happy about it, you'll have to enable some services for it to.
Otherwise you'll get a warning in the System Configuration Checker of the SQL setup: "
Microsoft Internet Information Services (IIS) is either not installed or is disabled."
KB920201 has the details on what you have to install. And don't forget to use the SP2 version of SQL Server.