Just taking a look at it, and i recall something like this coming up before.
Express uses the spell engine that is provided by works, office, or word etc...whichever you've installed. As far as i can remember there is no auto correct feature built in with express, and you are expected to buy / obtain a 3rd party piece of software if you want this feature.
A work around would be Tool > Options > Spelling > Always check spelling before sending.
Saying all that, i only glanced at it and there could well be an auto correct feature ^^