How about a free one?

Surely not everyone that uses SQL on a shared server has to buy their own copy of SQL Server?

Is there a free utility to copy it from the host to local? I am assuming that SQL management express can not do this (after searching the help for a while... annoying)

You can use the 'free' version of SQL Server. It is called SQL Server 2005 Express. Here are some pertinent links.

(Or are you only asking about making a copy of the database files?)

SQL Server 2005 Express Books Online Express Edition
http://msdn2.microsoft.com/en-us/library/ms165706.aspx

SQL Server 2005 Express Edition (Advanced/SSMS/BI Toolkit)
http://tinyurl.com/yelwr9 (SSMS)
http://tinyurl.com/ovcx3(Advanced Services)
http://tinyurl.com/23hg7n (BI Toolkit)
http://msdn.microsoft.com/vstudio/express/sql/compare/default.aspx
http://msdn2.microsoft.com/en-us/library/ms365247.aspx

SQL Server 2005 Express –Installation Details
http://msdn2.microsoft.com/en-us/library/ms143441.aspx

SQL Server 2005 Express Overview
http://msdn2.microsoft.com/en-us/library/ms345154.aspx
http://www.pcw.co.uk/personal-computer-world/software/2155087/review-microsoft-sql-server

SQL Server 2005 Express System Requirements
http://www.microsoft.com/sql/editions/express/sysreqs.mspx

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My main intention is to click a button or run a program to download the SQL DB from the shared server in order to keep a backup locally.

Can SQL server express accomplish this, or is there another way? I use asp/vbscript on the host.

Still a bit confused about what management express and sql server express differences are too.

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SQL Server Management Express is a client side tool with limited database 'management' capability. It is relatively useless without access to a database server.

SQL Server Express is a database server.

Check out the 'Copy Database Wizard' in Books Online.

You can get Books Online here:

SQL Server 2005 Express Books Online Express Edition
http://msdn2.microsoft.com/en-us/library/ms165706.aspx

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Check out this thread: http://forums.microsoft.com/MSDN/ShowPost.aspx?PostID=1436012&SiteID=1