I recently purchased Final Cut Express.
With HDV tape, there's no problem with connection and capturing.
But when I put in miniDV and click "capture", it says "unable to initialize HDV deck. Please make sure a deck is connected and try again."

What do I have to do?

You have to change your capture settings and tell it to look for a "DV" deck and timecode, otherwise it's looking for and HDV source which isn't the same format.