You'll have VS2015 Community Edition. There is no Express Editions any more. They stopped during VS2013.
I'm going to guess that your Windows account does not have administrator privileges. This is a common problem we have with our installer when it tries to find the location of your Visual Studio folder in My Documents. This is because the installer runs as administrator so it can write files to Program Files, but it needs your local user's My Documents folder, but it is not running as your local user. I want to get this fixed the MonoGame 3.6 release.