1. Download the correct program from Microsoft
SQL Server Express 2008r2: Choose the file "SQLEXPRWT_x64_ENU.exe" for 64 bit computers, or "SQLEXPRWT_x86_ENU.exe" for 32 bit. This will install Management Studio 2008r2 as well.
SQL Server Express 2012: Choose the file "ENU\x64\SQLEXPRWT_x64_ENU.exe" for 64 bit computers, or "ENU\x86\SQLEXPRWT_x86_ENU.exe" for 32 bit. This will install Management Studio 2012 as well.
SQL Server Express 2014: Choose the file "ExpressAndTools 64BIT\SQLEXPRWT_x64_ENU.exe" for 64 bit, or "ExpressAndTools 32BIT\SQLEXPRWT_x86_ENU.exe" for 32 bit.
Note: These instructions will be using 2008r2. The installation of 2012 or later might be slightly different, but conceptually should be the same.
2. Launch the installer
3. Choose "New installation or add features to an existing installation"
4. If you have any existing instances this window will appear. Choose “New installation or add shared features". If you don't have any instances of SQL Server on that computer/server, this screen will not appear, and you can skip to the next step.
5. Check the box for "I accept the license terms" (optionally check the box for "Send feature usage data to Microsoft")
6. Name your instance. We suggest naming the instance 'ESHA'.
7. For SQL Server Database Engine, make sure the Startup Type is set to Automatic. Also check the Collation tab, this should be set to "SQL_Latin1_General_CP1_CI_AS"
8. Choose "Mixed Mode" and create a password. This password will be for your "sa" account if you ever need to access the server. ESHA does not need to know this password, but you should keep it for future reference.
9. Check the box to send error information to Microsoft is you would like, then click next, then next again. You should then receive a window saying that the installation is complete.
10. Follow the steps to attach your database