You do not need SQL Express. I use both depending on what I'm doing.
You can cut-and-paste the database from the App_Data folder to where ever you keep your database files, and then attach the db from SQL Server.
Then change the connection strings. Here is what I use for working back and forth between SQLExpress and SQL Server.
<remove name="Personal"/>
<!-- Connection for SQL 2005 Express -->
<add name="Personal" connectionString="Data Source=.\SQLExpress;Integrated Security=True;User Instance=True;AttachDBFilename=|DataDirectory|personal.mdf" providerName="System.Data.SqlClient"/>
<!-- Connection for SQL Server 2005 -->
<!--add name="Personal" connectionString="Server=(Local);user id=test;password=test;database=Personal"/-->
<remove name="LocalSqlServer"/>
<!-- Connection for SQL 2005 Express -->
<add name="LocalSqlServer" connectionString="Data Source=.\SQLExpress;Integrated Security=True;User Instance=True;AttachDBFilename=|DataDirectory|personal.mdf" providerName="System.Data.SqlClient"/>
<!-- Connection for SQL Server 2005 -->
<!--add name="LocalSqlServer" connectionString="Server=localhost;user id=test;password=test;database=Personal" providerName="System.Data.SqlClient"/-->
Just a couple of things to note:
If you study the connection strings you'll notice everything points to the same database name. You may want to consider combining your appservicesdb with the personal db. There are links to scripts in the forums for accomplishing this task.
In addition, I have been using Visual Studio.net since beta back 4 or 5 years ago, can't remember now. Anyhow, I decided to give Visual Web Developer a try and it far exceeded all my expectations. It is truly a great web development tool.
I hope this was helpful.
Jeremy
Extended Personal Site Starter kit