Yep, you read that right. I did say SQL Server 2008 Express SQL Agent, and so will your services snapin if you install SQL Server 2008 Express, but you won't be able to use it. Apparently there was some miscommunication/ lack of communication at Microsoft regarding the installation of SQL Agent with SQL Express, and the result is a disable SQL Agent Service that won't start no matter what you try to do. This is documented in the following connect feedback:
If you attempt to start the service you will receive the following error message:
The service cannot be started, either because it is disabled or because it has no enabled devices associated with it. [0x80070422]
and trying to enable the service to start automatically will result in:
The request is not supported. [0x80070032]
This is by design according to the connect response from Microsoft, though it is not the ideal situation and is certain to cause a lot of confusion in the community. If you want to use the SQL Agent, you need to install one of the pay versions of SQL Server. You can still however, use sqlcmd.exe, batch files, and the Windows Task Scheduler to replace the SQL Agent free, or for a lot less than the cost of a single license for SQL Standard hope over to the SQL Sentry site, and purchase a copy of SQL Sentry Event Manager.
Now I will be quite honest and say that I haven't yet tried the Event Manager, but SQL Sentry has a great reputation for creating top quality applications and comes highly recommended by colleagues that I trust and respect.