It was a real coincident. I opend a test account with arvixe.com and googled some and found a good blog entry http://blog.arvixe.com/using-telerik-sitefinity-with-arvixe-shared-plans/
After connecting to SQL instead of SQL express with localhost\SQLExpress it worked.
Is this the correct way to do it?
Is the other SQLExpress Option only to be used when you setup directly on hosing sever.