A regular SQL Server connection using SQL Server Authentication in ETL Validator looks like below : 

Notice that there is no option to provide 'Instance' for the SQL Server connection. Starting from ETL Validator v3.4.3, there 'Custom' option that can used to specify a custom JDBC URL. 

Since ETL Validator uses the JTDS jdbc driver, the custom JDBC URL for specifying an instance would look like : 

jdbc:jtds:sqlserver://MYPC:1433/database;instance=SQLEXPRESS

The custom URL option is also available for other connections such as Oracle, DB2 and Hive 2.