I found that SQL Server express 2005 was running on my computer - left over from earlier installs of arcgis. I went to a server with a fresh arcgis 10 install and installed sql server express off the arcgis 10 desktop media. This installs SQL server Express R1, and now I can attach to the course database file.
FYI, this installer required windows Installer 4.5 or newer to be running on the sever. Had to download and install that first. Also, it seems that in order to attach, the mdf must be on a local drive, not a shared network/UNC path.
FYI: SQL Server Express R2 is not supported on windows XP.