how to connect to sql server express in windows phone

Yes. It is possible to display. But you have to have a web service which can give response to an request made by windows phone 7 or any other.

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Following code will call a web service and print output.
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using System;
using System.Collections.Generic;
using System.Linq;
using System.Net;
using System.Windows;
using System.Windows.Controls;
using System.Windows.Documents;
using System.Windows.Input;
using System.Windows.Media;
using System.Windows.Media.Animation;
using System.Windows.Shapes;
using Microsoft.Phone.Controls;
using System.IO;
using System.Diagnostics;
 
namespace WindowsPhoneApplication1
{
 public partial class MainPage : PhoneApplicationPage
 {
 // Constructor
 public MainPage()
 {
 InitializeComponent();
 
 WebClient wc = new WebClient();
 wc.DownloadStringAsync(
    new Uri("http://my.serviceapp.com/my/webservice"));
 wc.DownloadStringCompleted +=
    new DownloadStringCompletedEventHandler(
      wc_DownloadStringCompleted);
 }
 
 void wc_DownloadStringCompleted(object sender,
     DownloadStringCompletedEventArgs e)
{
     Debug.WriteLine("Web service says: " + e.Result);
}

}

}


Tutorial

- Creating a windows phone 7 application consuming data using wcf service

- How to display data in grid