I've someone I know has inadvertently installed SQL Express as part of the Visual Studio install, after having already set up a development machine where the real SQL Server (whichever flavor) is already installed.
Running the VS install again and looking under the Change/Remove Options won't help you remove SQL Express in this case. Instead, head over to Control Panel's Add or Remove Programs section and you'll find the listing for Microsoft SQL Server 2005. It's not clear from the screen, but clicking Remove here will give you an option for which instance of SQL you want to remove: SQL Express or the "real" SQL.
A couple more clicks of "Next" and "Finish" and poof! SQL Express is gone.