I dont know what the answer to the problem is, but I too have seen it discussed in the forums. I have had it myself, (using VWD and Sql Express 2005 as you are doing) but only intermittently, so have not tracked it down. The min/max cookie is (I think) coded by the ClientAPI team, so it may be worth searching that particular subproject forum, or asking a question in there.
In my (limited) experience, DNN3 modules work fine in DNN4, but you cannot open the source if VWD without making changes to the namespaces, the file locations and some of the code (codebehind= becomes codefile=, class becomes partial, withevents statements can be removed etc.)