What you get with the Spyder4 Express is a hardware puck and software. The hardware puck just senses the light from your monitor, the software is what builds the lut table that is loaded when you boot your PC. You can get the same hardware puck with different software that has different capabilities. Go to the below link and look under the software specifications tab.
http://spyder.datacolor.com/portfolio-view/spyder4elite/
The software that comes with the Spyder4 from Datacolor all say the calibration is automatic, I do not see anything that says you can do a manual calibration (using the OSD of your monitor). That does not mean it would not do it, you could email Datacolor and ask them if any of their software supports manual calibration, I would be suprised if none do.
I use ColorEyesDisplay Pro (CEDP) with a Spyder3. CEDP has both automatic and manual calibration modes. I use the manual mode on my desktop monitor because I get a much better calibration. On my laptop I use automatic mode since the laptop display does not have an OSD.
As soon as Integrated Color releases the PC version update for CEDP I am going to get a Spyder4 when I get the upgraded CEDP software.
http://www.integrated-color.com/mm5/merchant.mvc?Screen=CTGY&Store_Code=ICC&Category_Code=Display+Calibration
Just like everything else you get what you pay for. I can highly recommend CEDP with a Spyder3 and the Spyder4 is an even better hardware puck. CEDP also has a pretty good support forum.
The Spyder4 Express that you posted a link to is cheaper, but the software will not be as good either. The three different Data Color Spyder4 options all use the same hardware puck, what you are paying more for is the software that comes with it.