Dana - in your case, I suggest you try running the Airport Setup Assistant. It automates the process of setting up an Airport Express from scratch very nicely - particularly if you don't have any idea what you are doing.
On the other hand, if you want to do a manual configuration of your Airport Express, then use the Airport Admin Utility. HOWEVER - to run that utility, your Mac must already have a functional network connection to the Airport Express already established. On an Airport card equipped Mac, that means you must first click on the MacOS Airport menu item, then click on the name of your Airport Express wireless network (which after a reset is called "Apple Network xxxxxx") to connect to it. Then, and only then, can you run the Airport Admin Utility - which will now detect an Airport Express you can select to configure.
One other note - your message indicates you are running MacOS 10.2.x. Perhaps this is incorrectly listed. Nevertheless, you need a Mac running at least MacOS 10.3 to configure an Airport Express.