Regardless of which keyer you use, you'll need to tell Final Cut Express that this clip will have an alpha channel, and that FCE should use the alpha channel to control transparency. We do this by selecting the clip in the timeline, then selecting the "Straight" alpha-type from the Modify menu. Tip: Make sure you have the foreground (green-screen) clip selected in the timeline window before you select the Alpha Type from the Modify menu.

After you have added the VKey filter to your green-screen clip and set it's alpha type to "straight", you should see a screen that looks something like this screen-capture. Note, that the background is now visible through the green areas of the foreground.