Recently I realized that I cannot use user instance feature of SQL Express 2008 R2 on my development machine.
SQL Server was throwing an error 'User does not have permission to perform this action'.
After some time trying to solve it out, I recalled that I was playing with communication protocols some time ago. And really, I got it solved...
I had disabled 'Named pipes' network communication protocol which is used for communication with user instances.
(SQL Server instance MUST be restarted after this change).