It can take quite a while for SQL Express to install. Perhaps even 20 minutes on slower boxes. TestCaddy allows up to 1 hour before quitting the installation. So have a look in the SQL install log file to see what is happening. SQL installation logs can be found in this location,
%ProgramFiles%\Microsoft SQL Server\90\Setup Bootstrap\LOG\Summary.txt
where %ProgramFiles% is typically c:\Program Files

You can install multiple Instances of SQL Express on one box.
If you are having trouble getting SQL Express to install via TestCaddy's Configuration Wizard, it may be best to download the SQL Express installer package from Microsoft (there is a link on our download page) and install it manually. Then when you install TestCaddy you can just enter the location and login details for the SQL instance you manually installed.

Your SQL location and login details can be edited in TestCaddy at any time by going to the Database Manager window found on the File menu.
If you ever want the Configuration Wizard to come back, simply delete the TestCaddy.ini file from your TestCaddy data folder (see separate FAQ for location of this folder). Note: You will need to enter the SQL server location and username and password again, but not much else is stored in that ini file.