I tried that.
With the Express connected to the PC with ethernet I do a factory reset.
After the reset has finished, Windows Network Connections status says, "acquiring network address." Then it says, "limited or no connectivity." But, the Express now shows up in the Airport Utility with an amber light. When I click on it I get an error message, "Error -6753, An error occurred while trying to access the Apple wireless device. Make sure your network connection is valid and try again."
I've been to this point before but no further. I cannot get to the setup stage.