VB Express indeed does not have the Empty Solution project template. It's hardly required though, which is why it is not included in the Express edition. For a solution to be of any use, it pretty much has to contain at least one project, so just create that project from the outset.
I'm guessing that you are trying to follow a tutorial that was written for VS and asks you to create an Empty Solution as a first step. In that case, read on and see what type of project it instructs you to add to that solution, e.g. Windows Forms Application or Console Application. All you need to do is create that project to start with and the end result will be the same.
If there's still an issue then please post back and give us all the relevant information, which would include exactly why you want an empty solution. While I can't think of a good reason, if there is one then you could either just create a project of another type and then remove it from the solution or get someone with VS to create an empty solution and export it as a project template.