This is a way how I installed and setup MS SQL Server and MsSqlSpatial .

1. Install SQL Server 2005 Express
   Enable Windows and SQL Authentication
    
2. Install SQL Server Management Studio Express
    
3. Enable TCP/IP and Named Pipes
   Run 'SQL Server Configuration Manager' from 'Start -> Programs -> SQL Server 2005 '
   Under 'Network Configuration' select 'Protocols' and Right-click and enable TCP/IP and NamedPipes
    
4. Using Management Studio Express Create new Database 'FdoUnitTest'
    
5. Enable CLR integration
   Using Management Studio Express execute:
   
   sp_configure 'clr_enable', 1;
   reconfigure;
    
6. Download and extract MsSqlSpatial latest version
    
7. Run MsSqlSpatial Command Line Tool, msscmd.exe
   
   msscmd -deploy -deploy_permission=EXTERNAL_ACCESS -server=localhost\sqlexpress -db=fdounittest -login=sa -password=YourSaPassword
    
8. Using Management Studio Express create 'unittest' user
   Create login unittest
   Add user to 'FdounitTest' database
   Add roles dbo.ddladmin,dbo.datawriter,dbo.datareader
   
   
    
9. Setup ODBC connection 'mssql' to SQL server
   From Control Panel select Administrative Tools
   Select Data Sources (ODBC)
   Choose Tab System DNS and click Add
   Select SQL Native ( or SQl Server )
   Enter Name for DNS 'mssql' in my case and select server  ( e.g. localhost/SQLExpress )
   Enter user credentials and Test Connection