Search Server Documentation on MSDN
If you're interested in learning more about the federation features in Search Server Express then head on over to MSDN and check out these articles;
Architecture Guidance for Building Federated Search Connectors
Federated Search Connector Sample (for federating to SQL Server)
Creating a Custom Federated Search Web Part with a Credentials UI
Location Definition File Schema Reference
We also have several Discussion Forums for questions and advice (including one on federation);
Richard Riley
Senior Technical Product Manager
Microsoft Corp.