Daniela,
I think you are doing things correctly, and you may have an AirPort Express that has an internal problem.
Please try a Factory Default Reset:
Power off the AirPort Express for a few minutes
Hold in the reset button....and keep hoiding it in....while you plug the AirPort Express back in to power
Continue holding the reset button for 8-10 seconds after you plug the Expess in to power and then release the reset button
The AirPort Express will have a solid amber light for about 30-40 seconds and then it will begin to slowly blink amber after 40-45 seconds
Try and see if AirPort Utility will communicate correctly with the AirPort Express.
If it still will not function, please try the following:
Open AirPort Utility and click on the File menu at the upper left hand corner of your screen next to the Apple icon
Select "Configure Other"
Enter the following in the Address area:
10.0.1.1
Enter the following in the Password area
public
See if AirPort Utiliity can communicate with the AirPort Expess now. If it still will not allow you to connect, I really feel that it is possible that you have a defective AirPort Express that should be exchanged for another device.