If I understand well, you are working using WPF, you may have installed just the libraries-only version, try to install the full package or download the VSIX file from CodePlex http://mvvmlight.codeplex.com/downloads/get/763723.
Update :
MvvmLight code snippets do exist on Express editions of Visual Studio, but sometimes you may encounter some issues, here are the full snippets to download.