In order to use SQL Express you must first have it installed. In Unit 3 you learned how to connect to a SQL database to get. If you did that unit then it would have had you getting data out of your SQL database instance (Express or whatever). In unit 4 you would continue to use that same data instead of SQL Express.
If you skipped the relational portion of unit 3 then unit 4 doesn't work. To get this working you'll need a SQL database. If you have one installed then you can simply use it. Replace the samples Server information with your SQL database instance. If you don't have a database then you can install SQL Expression here. Once you do that then it will be available.
However you also need a database to connect to. The module is using the TailwindTraders database. That is harder and there are quite a few posts about where it is available. I cannot directly answer that question but here is a related post asking for where the database files are at. Unfortunately they appear to point to AdventureWorks which is the old SQL sample database. I believe you can just restore that database to your SQL instance and use it. The structures are the same it appears (at least for the unit). The only change you'd need to make is to use AdventureWorks
in lieu of TailwindTraders
whenever it is mentioned.