There are two method to change the authentication mode from windows to mixed.
Connect to Instance then go to Instance property.Choose security option from left side,here you can change from windows to Mixed mode.after changing restart the sql server services.
For SQL Server 2005 Express Edition,You need to go it manually. The first step is to change the login-mode.
Open registry editor (launch application %WINDIR%\regedit.exe) and go to HKLM\Software\Microsoft\Microsoft SQL Server\MSSQL.1\MSSQLServer in the tree on the left.
On the right, look for an entry named LoginMode. The default value, when installed is 1. Update it to 2. The next step is to restart the service.
Launch your Service Manager (Start -> Run -> Type services.msc) and look for a service named MSSQL Server (SQLEXPRESS). Restart the service.