Actually, Visual C++ Express DOES work. I was able to get OJP Enhanced to compile using it. However, you need to make sure that you have the very latest version of the Microsoft Platform SDK in order to get everything to work right (Microsoft® Windows Server 2003 R2 Platform SDK - March 2006 Edition).
Link to the platform SDK web install:
Note that I wasn't able to get the web install working myself: it would always fail about 2/3 of the way through. What I ended up doing was downloading the SDK as an ISO image and installing from that.
Also, don't forget to change the include paths in your Visual C++ settings to include the platform SDK.