Database mail is a completly rewritten mailing system in SQL Server 2005 built on top of the service broker.
This means that it runs asynchrounously. The mails are put in a queue and are sent from there.
However it's not present in SQL Server Express. I wonder why not because Express supports Service Broker just fine.
Well i've found a great blog post that explains how to "enable" Database Mail in SQL Server Express.
But it's in German so i'll explain in English how to get it to work :)
SQL Express holds all necessary stored procedures, service broker queues, etc... for proper mail handling.
However when you try to send an email the processing of queued mails fails with because an external process
called "DatabaseMail90.exe" couldn't be started.
This means that the file is simply missing.
By copying DatabaseMail90.exe, DatabaseMailEngine.dll and DatabaseMailProtocols.dll into the MSSQL\Binn directory
and executing system stored procedures in MSDB database called
the queued mails are processed immediatly.
Now the only problem with this is that you have to get those 3 files from either standard or enterprise edition of SQL Server
but that is anoter matter :)