visual studio express / sqlserver client

I am trying to learn visual studio express and visual basic. I have also bought a book like vb in 24 hours. Unfortunately I am stuck on chapter 1.  Spent hours on it already.
Where I need to connect to the database the steps are as follows.

Add a new Datasource
Click Database
Click New Connection

Now problem starts - I need to choose the datasource. I click on change and unlike in the book, I have only 2 options.
1 Microsoft Access Database File
2 Microsoft Sql Server Database File

In the book I should use: Microsoft SQL Server (Sql Client)

I have installed SQLExpress and Visual Basic express as standard installations.
What am I doing wrong here.

thanks vm
Max