By default SQL Express does not accept any remote connections. You won't be able to connect to it with SQL Management Studio, or an ODBC connection for example until you enable  it to accept connections.

If you plan to do all SQL management while connecting to the server with Remote Desktop, then leave the SQL TCP/IP option disabled, as this will make your server tighter on security.

But to allow TCP/IP connections follow these steps:

1. Launch the SQL Server Configuration Manager from the Programs >Microsoft SQL Server 2005>Configuration Tools
2. Click on the "Protocols for SQLEXPRESS" node under SQL Server 2005 Network Configuration.
3. Double click "TCP/IP"
4. Select Yes next to Enabled
5. Click the IP Address tab
6. Under IPAll you will see the port that you will need to connect with.

Connect to the server:

1. Launch SQL server Management Studio
2. Click File > "Connect Object Explorer"
3. For Server name you will want to use Servername\SQLExpress,Port

While it is possible to enable the SQL Browser service so that you do not need to specify the port above it is a a better security practice not to run the browser service, as your computer will not be listening to this UDP port.