SQL Server Express is the free version of SQL Server, and can be installed with Visual Studio .NET (some of the new features in ASP.NET 2.0 such as personalization use SQL Server Express on the local machine by default).

When you install SQL Server Express, you dont get any management console - much like the "old days" of MSDE. Apparently now this has changed. Here is a free download of SQL Server Express Management.

http://msdn.microsoft.com/vstudio/express/sql/download/default.aspx