There's a good step by step in the Designing AirPort Networks guide, pages 43-44.
http://manuals.info.apple.com/enUS/Apple_AirPort_NetworksEarly2009.pdf
When you are configuring an AirPort Express with AirPort Utility, it will usually help to temporarily connect an ethernet cable from your computer to the Express. Once you have it configured and updated, you can remove the cable and move the Express back to the desired location.
The key things to keep in mind are that both the base station and the extending device must be configured. All you will need to do on the base station is open AirPort Utility, click Manual Setup and Click the Wireless tab. Make sure there is a check mark next to "Allow this network to be extended" and update to save changes. If you have a dual band base station, only the main network can be extended.
On the Express, the Wireless Mode is set to "Extend a Wireless Network". When you do this, the wireless network created by the base station will appear so you can select that network to "extend". You will need to enter the password for your wireless etc. It's important to remember to click the check box next to "Allow wireless clients".
By the way, the ethernet port is also active when you setup the Express to extend, so if you need to get ethernet to a device like a DVR, DVD player, etc., this is a nice way to do so.