The old SQL Enterprise Manager used to have something called Data Transfer Services, which allowed you to transfer data between SQL Server and a different database using ODBC. Â This was curiously lacking in SQL Server Management Studio 2005 (at least the Express one) unless I missed it.
However, in the 2008 version, you can right click on a database, select All Tasks and there are options for Import Data and Export Data, which open an appropriate wizard to guide you through the process.