MySQL or Sql Express?

#1 You'd have to double check this, but I think SQL Express would be free to re-distribute with your game so long as you've registered for a re-distribution license, where as MySQL would require a commercial license to do the same unless your game is OSI compliant (which TGE based games cannot be).

As for differences in capabilities and efficiency I'll let others that have used them both more than I have answer that.

#2 As long as it has a C++ library, it's possible. There is no "best" solution. If there was one, we wouldn't be having all these different flavours. They all excel at something.

#3 Depends. Are you using these for local storage or storage on a game server? You plan on making this commercial? I could be wrong but I don't know if SQL Express can be used in commercial applications. I haven't looked over the licesne in a while. I know MySQL can't be w/o a license.

But in terms of efficiency, MySQL would probably be your better bet, unless you are wanting to make use of T-SQL, then you would need to go with MS SQL. MySQL isn't as much of a server resource hog as MS can be, so it would be my choice.

If you are just wanting to do local storage (IE store items, character data, etc for a single player game) then you might want to check into using SQLite instead. Requires no server to be running and is totally free.

#4 Don't get me wrong on this above, I love MS SQL (I use it everyday for work) but for games I think MySQL would be more suitable.