I had the same problem. Also, you'll probably notice there is no ScriptManager or UpdatePanel under AJAX Extensions in the Toolbox. My solution was to uninstall VWD Express 2008, install VS 2008 Trial, install VWD Express 2008 again, and uninstall VS 2008 trial. Problem solved. I'm assuming VWD 2008 isn't installing or configuring the runtime correctly.
Edit: Oh, and just in case, make sure you run VS at least once after installing and before you install VWD so it can configure stuff.