Q: How do I set up Airport Express wirelessly?

It is connected to my stereo but i can't connect it with the ethernet cable (as modem not on same side of room as stereo)...I have been told I can set it up wirelessly but I dont know how to do this as on Airport Utility I do not have the option to choose wireless.  The internet light is green on the screen (orange flashing on the AE).  The message on Airport Utility is No Configured Basestations have been found - i have rebooted it already (should I retry?).

Thanks

Elanor