The Microsoft Data Transformation Services (DTS) is provided in the SQL Server Express with Advanced Services SP2 Toolkit. The installation will provide an additional DTS folder in C:\Program Files\Microsoft SQL Server\90\ . 

The Importing & Exporting can be done using the Import/Export wizard provided by C:\Program Files\Microsoft SQL Server\90\DTS\Binn\DTSWizard.exe

However there is no tool created in the Management studio for the same. You can add an external tool by using Tools >> External Tools and adding the path to DTSWizard.exe in the Command field.

And now you are ready to use Import Export wizard in MsSQL 2005 Express Edition.

Similarly you can add other external tools for any other DTS feature.