There are several different ways that the application can connect from the Blackberry to Bloomberg, and these have changed a little over the years.
From last time I used it, the options are:
MDS, or MDS Gateway
These require the MDS service on your BES, which I don't think is available with BES Express.
This connects directly from the handheld to Bloomberg.
This uses a BIS connection via RIM's servers. We found this more reliable than Direct-TCP, but you may need to pay your network for BIS service on top of BES.
The connection option can be selected on the handheld, and you can push out the settings as part of a custom IT Policy.
Bloomberg do have some good documentation on installing the application and how best to configure the connection, but this doesn't seem to be publicly available. If you contact Bloomberg support then they should be able to provide it