If you are using Windows Vista OS & SQL Server 2005 on your local system and if you are having a hard time to connect to <Machine-name>/SQLEXPRESS SQL Server with error message - "Can't connect to SQL Server", then the culprit is SQL Express 2005 SP1.

Download SQL Express 2005 SP1 from the below site and try reconnecting, you will say c'mon, don't tell me this was the issue :)