Here is a connect string that worked for my InstantKB on SQL Server 2005 Express:

<ConfigValues>     <Name>InstantKB_ConnectionString</Name> 

<Value>Data Source=localhost\SIS_KB;Initial Catalog=instantkb13;Integrated Security=True;</Value>

This had me up and running quickly after trying a number of different things that work on MSDE..  Hope this helps anyone else in need :-)

Richard - AtlantaUser