Managing SQL Server Express requires "sysadmin" privileged, of course.
However, that privileged goes to whoever user account who installed the SQL Server Express, not other users. (Even though the user as administration account on windows)
This causes problems like not being able to create a Database etc.
I had a problem running Windows Azure emulation, specifically storage emulator accessing master DB.
For these situation, follow the instruction below from Microsoft:
"Get admin rights to your local SQL Server Express with this simple script "
This should add your current login account to the SQL Server Express as sysadmin, and now you should be able to manager the server.
FYI: SQL Server Express's "sa" account is disabled as default.