No, it does not go through. I type that into the URL, and the finder window opens up. Then I'm back to clicking on Connect As... and having nothing happened.
That said, this morning I did try to unplug the AirPort Express, and it's still not working. I've tried rebooting the AirPort Extreme, both with and without the external hard drive attached, reconnecting it and rebooting the Extreme, all to no avail.
Thank you, Newzealand440, for your suggestions. I did go through and delete any login items with error triangles, but unfortunately that still didn't do the trick.
In the end, I took the hard drive into the Apple Genius Bar. It was simply a matter of permissions. I plugged the HD directly to my computer, then 'right clicked' on the drive and chose 'Get Info'. At the bottom, I looked at the permissions, and set my user's to 'Read and Write'. That did the trick.
I'm not sure what caused the permissions to be changed in the first place, and have yet to try to reconnect it to the Extreme to make it accessible over the network, and thus figure out when exactly the permissions are being changed.
But, the access problem has been resolved.