Ага, вот здесь читать?
http://msdn.microsoft.com/ru-ru/library/ms181091.aspx
А где брать сам SQL Profiler? В MS SQL Server 2008 R2 Express Edition его нет :-(
Microsoft SQL Server family includes free Express edition, that is fully functional, however has some disappointing limitations which prevent from using it in development process. One of them is absence of profiling tools, standard SQL profiler is not included.
:-((((