Microsoft have released SQL2008 Express with advanced service, I have done this install quite a few times now. So here are some recommendations:
1. Download and install the prerequisites first
Power shell 1.0 (There is a beta for Power shell 2.0 - do not be mislead)
2. Download the install: do not run it. The odds are you will either want to uninstall it or reinstall it.
This process may involve a number of reboots: I seem to average about 4.