:laugh:
It's not too obvious, is it?
In the second stage of your question, when you have this image showing:
http://snap.ashampoo.com/uploads/2014-02-23/ZLyF8Zhh.png[
^] open the drop-down by clicking the down arrow at the right hand end. There will be a "short delay" and the it will open, and you will see the available SQL Server instances.
Probably, you want something like
YOURPCNAME\SQLEXPRESS
It's pretty obvious from there.
However, I don't think you
can create a new DB from there - it's easier to use SQL Server Management Studio (which installs with SQL Server Express and runs as a separate application)