If it is the default instance, yes. If it is a named instance, you can get the name from the Services applet. With SQL 2005, though,, you are looking for the SQL Server service, instead of the MSSQLServer Service.
If you want to connect remotely, you have to turn on the SQL Browser service. Just like the Oracle Listener.
I am able to use query analyzer with SQL Express, too. Like I said, you just have to start up the SQL Browser service to get it to work remotely. Sounds like a bit of fallout from the SQL Slammer virus.
The SQL Browser Service is basically the Port 1434 (and 1433 too) manager that now runs independantly. This allows you to set up a single system service (like MSDE) that isn't nearly as vulnerable to "drive by attacks" as previous versions.