If you get this message it means you downloaded the mojoPortal package for SqlAzure rather than the package for MS SQL.
In theory (I have not tested it so don't hold me to it) you could probably use the mojoPortal SqlAzure package with SQL Express 2008 or SQL Server 2008, but you would have to use the SqlAzureConnectionString instead of the MSSQLConnectionString.
Then you would also always have to remember to use the SqlAzure packages when upgrading.
Hope it helps,
Joe