AdventureWorks & AdventureWorks2005 - sql

I have downloaded and installed Microsoft SQL server Management Studio Express SQLServer 2005. I could not find AdventureWorks databases in it. Do i suppose to download and install it as well? If so, could someone point me to the site where i can download AdventureWorks and its instruction? Once again, I am using Microsoft SQL server Management Studio Express 2005.
Many thanks,
Tom

The database is not part of the installation.
For Express and CE you need to download and install: SQL Server 2005 Samples and Sample Databases

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In SQL Server 2016 it has its own link:
Just download it here: https://msdn.microsoft.com/en-us/library/mt238290.aspx
If you have the installation Disk(s), you can install Sql Server Management Studio (SSMS) by going into Add features to an existing instance of SQL Server 2008
See step by step guide here including screenshots.

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Just installing Sql Express on it's own will not give you any client tools.
If you have a full Sql Server (Dev or otherwise) already installed on the same client, the existing tools will allow you to manage the Express database instance too. Otherwise, you wil need to install the version of Sql Express that comes with tools. This can be found here
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To manage your SQL Compact 3.1 database file from Management Studio Express, you must install Management Studio Express 2005 SP2.

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Download SQL Server 2008 Management Studio Express from Microsoft's homepage!
You need to download Sql Server Management Studio Express. You can download it from Microsoft.com.