I would recommend that you do the following as a minimum:
Power-down the AirPort Express Base Station (AX).
While the AX is powered-down, perform a "factory default" reset on the base station. This will get it back to its "out-of-the-box" configuration and make setting it up much easier, especially if you use the "Assist me" process within the AirPort Utility. (ref:Resetting an AirPort Base Station or Time Capsule)
Allow the AX time to complete the reset. It may continue to have a flashing amber status light indicating that further administration steps may be necessary.
In this basic configuration, the AX will broadcast an unsecured wireless network with a Network Name (SSID) of Apple Network NNNNNN. Network clients, should be able to connect to this wireless network. you can now use the AirPort Utility to configure the base station for joining a wireless network.