I had this issue myself although my router is a time capsule which is also seen in airport utility. I had to make sure, a couple times, that the router was sending out the right wifi signal and that the airport express was connecting to it/not creating it's own signal.
if the aexp is your router then I would try one more time and very slowly to setup the AEXp from the factory settings. Meaning hit the little reset button on the device until it blinks amber and then connect to it with your computer via wifi and set it up with everything automatic and factory set.
I had spent a whole day figuring out how to get this to work, and somewhow did, but don't know what exactly did it. Sorry if this wasn't too helpful but I would say, keep trying.