You can normally set up the AirPort Express to "join a wireless network". It will not "extend" or "repeat" the WiFi signal from a third party router using this type of setup, it will simply join the network, just like any other WiFi device that connects to a network. AirPlay will work in this type of setup if the Express receives a strong WiFi signal at its location.
However......the AirPort Express was designed almost 10 years ago, so it will likely have trouble trying to "join" the WiFi network of a newer WiFi 6 or mesh router that is using recent wireless security settings like WPA3.
My guess is that the Apple folks were trying to get the AirPort Express to "join" the WiFi network, not repeat it. But, if you want to give things another shot,, post back.
We'll need to know whether you will be trying to set the Express up using a Mac or an iPhone / iPad.
If all else fails, you still may be able to connect the Express using an Ethernet cable back to your main router, but that cable will need to remain connected at all times.