The AirPort Express provides a default wireless network with a name like Apple Network xxxxxx.
You must connect to this network first....no password is required.....then open AirPort Utilty 5.6 and click Continue to follow the guided setup to configure the Express to "join" your wireless network.
It is often easier to temporarily connect a spare Ethernet cable from your Mac to the AirPort Express.
Then open AirPort Utilty 5.6 and Continue with the setup. Once the Express is configured, you can disconnect the Ethernet cable and move the Express to the location where it is needed.