The Express Edition has some of that stuff removed from the UI.
You can still debug with the Express Edition, but you must create your MyProject.csproj.user file manually. Simply put it in the same directory as your MyProject.csproj file (obviously, substituting your actual project name for "MyProject").
I have attached a sample .csproj.user file setup for Civil-3D 2008. All you should need to do is edit the paths that launch the program, so they have the correct paths for your Autodesk product.
(I also had to append a .txt to the file name in order to post it - the Swamp would not let me post a file with a ".user" extension.)