You cannot use the SQL Server agent in SQL Server Express. The way I have done it before is to create a SQL Script, and then run it as a scheduled task each day, you could have multiple scheduled tasks to fit in with your backup schedule/retention. The command I use in the scheduled task is:
"C:\Program Files\Microsoft SQL Server\90\Tools\Binn\SQLCMD.EXE" -i"c:\path\to\sqlbackupScript.sql"