I found some time to install Search Server 2008 Express over the weekend. So far I am very impressed. There were some issues with the installation (thank goodness for VMWare Snapshots). First I installed it (without reading the documentation of course :) ) trying to just select the WFE rather than complete install. This was because I wanted to use my SQL installation rather than SQL Express. The VM I was installing on already had WSS 3.0 on it.
After the first attempt, my WSS installation was really unhappy and I was getting a null reference exception whenever I tried to open a page including the WSS Central Admin.
So I rolled back to my previous Snapshot and had a brief look at the installation instructions. Realizing that I needed to do a complete installation, I tried again. It took quite a while to install but eventually completed successfully. It seemed to recognise the existing WSS 3.0 install and performed an 'upgrade'.
During the installation, I elected not to create a Search site, rather do it manually. The UI for the configuration is pretty simple, more nicely setup than the MOSS Search configuration UI.
By default it setup the content source for the WSS site to be crawled. I kicked of a crawl and that was done.
I created a Search site in my existing WSS site collection and lo and behold it worked straight away. I noticed immediately that the new Federated search web part was in place searching ninemsn.
I decided to download a couple of other Federated Search Connectors for Google etc and reconfigured the web part to search Google, and sure enough it worked like a charm.
I have not investigated it fully yet, but it looks like you can pass parameters to the federated search web part, so I am guessing that you can search many data sources simultaneously this way.
I am pretty interested to investigate this further and will post other findings as I try it out.