I have a Windows Server 2003 machine that is dedicated to running Sharepoint Services 3. I need to host a new internal web application on this machine which requires SQL Server. I have already confirmed with the application developer that SQL Server 2005 Express is suitable for his application.

Is there any harm in installing SQL Server 2005 on a Sharepoint Services 3 box? Does Sharepoint use SQL Server? I don't see that it is explicitly installed on this machine already. Is there anything I should know before doing this?