The AirPort Express is not "plug and play" since it can be configured to do a number of different things.
We need to check to see which versions that you have of the AirPort Extreme and AirPort Express to make sure that things will work together correctly.
Are both of these devices relatively new?
I am not clear from the information in your post what you want the Express to do. It appears that you want it to connect using wireless only to the AirPort Extreme and provide an Ethernet LAN connection for a device. Is that correct?
Will the Express be located in an area where it can receive a strong wireless signal from the AirPort Extreme?
Airport Extreme bought in June 2007
2007 is right on the bubble between good news and bad news.
Is the AirPort Extreme "square" shaped with rounded corners, or is it "round", like a flying saucer?
If you open Macintosh HD > Applications > Utilities > AirPort Utility.....does the AirPort Extreme appear on the screen?
Hold in the reset button on the AirPort Express for 9-10 seconds and then release it. Allow a full minute for it to restart to a slow, blinking amber light.
Unplug the power on the Express and temporarily move it to the same room as the AirPort Extreme for the setup.
Power up the Express and let it run a minute.
Open AirPort Utility and click on the tab at the upper left corner of the window that reads Other AirPort Base Stations (1).
Click on AirPort Express xxxxxx
Wait a minute or two while AirPort Utility analyzes the network and then announces that the Express will be configured to "Extend" your network.
Enter in a name for the AirPort Express device
Wait a few minutes to allow AirPort Utility to read the setttings on the AirPort Extreme and configure the AirPort Express with the settings that it needs
When you see the message that Setup is Complete, click Done
Unplug the Express and move it to the desired location and power it back up. Wait a minute for a green light.
Make sure the AV receiver is powered off
Connect a known good working Ethernet cable from the LAN <-> port on the Express to the AV receiver and power up the receiver.
Check things out.