Okay, my .ini file resides in the folder /usr/local/Zend/etc and so does my phpexpress-php-5.2 (there is a star beside the filename, i dunno why)

in the .ini there is the following parameters

extension_dir = "./"
extension=phpexpress-php-5.2.so

I still get the page "Error: NuSphere PHP Express is not installed"

I have this properly working on my Windows box, what is stopping this from working?

this option value means "extension are expected in directory local to php engine".
I'd highly recommend you to put there a correct full path.
Then copy phpexpress module into this directory.
Meanwhile check apache error_log to see the directory in which it was looking for the module.