Since Microsoft's Visual Studio Express edition does not allow installation of any plugins anymore (f.ex. TestDriven.Net), here is a quick workaround to get NUnit-GUI working. Add this to your Post-Build section of your Project settings:
copy /Y "$(ProjectDir)App.config" "$(TargetDir)$(TargetFileName).config"
For more details please consult http://codebetter.com/blogs/darrell.norton/archive/2005/05/13/63169.aspx