Dale,
Yes, it will install SQL Express as an option. All you have to do is choose the "Express Install" option during the installation process. I would install NPM first then install the others the same way. The install will install everything it needs in the process.
Now, I just did this recently without any issues on a 2008 R2 server. I also was using NPM 10.7, so its possible that this option may not be available with NPM 11. Sorry, I haven't tried NPM 11 yet.
Good Luck
Zak