We received many questions about SQL 2005 Express though number 1 is always DTSwizard is gone! Well no not really it is harder to understand than in SQL 2000 as the gui is simply not as straight forward.
If you look at your files this path C:\Program Files\Microsoft SQL Server\90\DTS should be present.

If you do not have this path you may need SQLServer2005_DTS.msi If you try this as I did it appeared to do nothing at all. I checked to make sure that I had IIS running on the desktop and installed that. Still no luck, so some searching offered another link which did the trick. SQLEXPR_TOOLKIT.EXE After you install this then run the DTS.MSI again. Just go to C:\Program Files\Microsoft SQL Server\90\DTS\Binn\DTSWizard.exe

You should then see a very friendly wizard that really is not that different from SQL 2000.