We'll go ahead and provide setup instructions for both a permanent wired Ethernet connection between the AirPort Extreme and AirPort Express and a setup that will use only a WiFi connection between the AirPort Extreme and AirPort Express. Please follow the steps carefully.
IF.....you plan to connect the AirPort Extreme to the AirPort Express using a permanent wired Ethernet connection........
Power off the AirPort Express if it not already powered down
Connect the Ethernet cable from one of the three LAN <--> Ethernet ports on the AirPort Extreme to the "O" (circle of dots) port on the AirPort Express
Power up the AirPort Express and let it run for a minute or two
Hold in the reset button on the back of the AirPort Express for 7-8 seconds, then release
Allow a full minute for the AirPort Express to restart to a slow blinking amber light status
Open AirPort Utility on your Mac
Click on the Other WiFi Devices button in the upper left corner of the window
If you see an option to connect using Ethernet or WiFi, select Ethernet
Click directly on AirPort Express xxxxxx
When you click on AirPort Express, that will start up the AirPort Utility setup "wizard". The wizard will take a few seconds to analyze the devices and connection and then display a screen that will look similar to the example below

Type in a device name that you want to use for the AirPort Express
Click Next
Watch the next screen that appears very carefully to see that the AirPort Express is being configured to extend using Ethernet. This will confirm that the setup wizard has picked up the wired Ethernet connection between the AirPort Extreme and AirPort Express to apply the correct settings to the AirPort Express

When you see the message of Setup Complete, click Done......and you are done.
IF.......you plan to connect the AirPort Extreme to the AirPort Express using a WiFi connection......you will not use an Ethernet cable at all during the setup.
Power off the AirPort Express if it is not already off and then temporarily, move the AirPort Express to the same room or close proximity to the AirPort Extreme
Power up the AirPort Express and let it run for a minute or two
Hold in the reset button on the back of the AirPort Express for 7-8 seconds and release
Follow the same instructions as above, but note that he windows displayed will be different than the setup using a wired Ethernet cable connection.
The first window that will appear will look similar to the example below

Enter a device name that you want to use for the AirPort Express
Click Next
Watch the next window that appears to see that the AirPort Express will be set up to wirelessly extend the name of the WiFi network that the AirPort Extreme is providing.

When you see the message of Setup Complete, click Done......and you are done with the setup.
Now power off the AirPort Express and move it to the desired location. The more than you have a line-of-sight relationship between the AirPort Extreme and AirPort Express, the better the network will operate.
If you need more WiFi coverage in a remote area, locate the AirPort Express approximately half way between the AirPort Extreme and remote area where more WiFi signal coverage is desired.