As per previous posts, I'm playing with LINQPad and I needed a decent DB to run my queries on.
So I downloaded SQL Server 2008 Express but that doesn't come with any sample DB (apparently for security reasons).
The actual DB's are now hosted by Codeplex but they are just a pile of scripts - they don't actually include the DB.
So Mr. Google to the rescue and I eventually found the answer here.
The article is called "HOWTO: Install the Northwind and Pubs Sample Databases"
(by Brian Hart).
The article shows you how to install the DB using "SQL Server Management Studio Express" which is part of the Express download.