on the checkout page, double check that the return and cancel urls are set correctly in the Authorize Transaction for PayPal express checkout behavior.
look for the folling lines of code:
$WA_PP_ECO_Set_params[0][$nextIndex] = "ReturnURL";
$WA_PP_ECO_Set_params[1][$nextIndex] = "http://ww.mydomain.com/pp_confirm.php";
$nextIndex = count($WA_PP_ECO_Set_params[0]);
$WA_PP_ECO_Set_params[0][$nextIndex] = "CancelURL";
$WA_PP_ECO_Set_params[1][$nextIndex] = "http://ww.mydomain.com/pp_cancel.php";
and make sure the addresses to the pp_confirm and pp_cancel page are correct.