I created an sql server express database but I could not attach it with arccatalogue.
an error message appears to me:
Sharing with Geodatabase.
This isn't an ArcGIS error/issue but a SQL Server error/issue. If you search the web, you will find plenty of examples of this error and suggestions on fixing it. For example, SQL Server Operating system error 5: "5(Access is denied.)" - Stack Overflow and How to Get Rid of SQL Server Database Access Denied Error
The user doesn't have necessary permissions on the windows folder to perform the attach.
Just copy the files to some other folder\drive and try the process.
Retrieving data ...