Well, I've found what was wrong.
Apparently (because I don't remember what occurred when I installed LS against SQL 2005 Express), when the Lansweeper installer looks for a SQL server, in the case of the SQL 2008 Express it doesn't select automatically the default db instance, hence the combo box is filled only with the server name instead of server\dbinstance. I overlooked for awhile this fact, hence the request (never ever install something at end of a hard day...)
I think that, even if the dialog states the correct syntax for the string, the server lookup function should fill the field correctly for the user.
Well, just my 2 cents. Thanks anyway for the answer.