I'm adding this entry as I keep forgeting my self how to get to the DTS Wizard in SQL Server 2005 Express.

It's simple, from Start.. Run box simply enter dtswizard.exe

But be aware that this will only work once Service Pack 2 for SQL Server Express has been installed.

Intiailly Microsoft didn't include DTS Wizard (or any DTS option in management tool menu). Many internet articles maintain you DTS isn't available for SQL Express, but they are wrong... once you've installed the service pack it will be there.