The currently available release of Express only supports Windows 8 (Metro) apps. The Pro version supports "desktop" apps, as does a supposedly forthcoming Express version.
Currently I can build desktop apps without downloading VS at all. The compiler (csc.exe) and MSBuild come with the free Windows SDK. The libraries (System.Windows.Forms etc) come with .NET. How have they restricted this ability in 2012 express edition?
I don't know. I'm not running Windows 8, so all I can tell you is I read the web page and repeated what it said. Maybe they simply omitted the "create new project" button.