It's probably flashing yellow since it can find no router, and needs an IP address.
What happens when you run AirPort Utility? It should detect the Express, give you some indication of the problem, and what to do about it.
I'm having a similar problem; my Airport Express flashes yellow (amber) all the time, even after resetting it. However, My Macbook Pro can hardly ever detect it, even when I'm sitting at a desk right next to the Airport Express!
Sometimes after a reset, Airport utility will find my basestation and I'll go through the steps to set it up, but it'll get hung up on the restart process and never go to green. Back to flashing yellow, and not detecting the unit.
Either the range on the Express *****, or something else is very wrong.