Hi,
This reply is for anyone who got this far but couldn't get further, becuase their setup was similiar and the above didn't work.
I have an Airport Extreme which I wanted to extend with a new Airport Express (2G). I first connected with a network lead and then decided I wanted to extend wirelessly so I could use the lead for my Samsung Smart TV - for Netflix. I clicked "forget" and then couldn't see the Airport Express to reconfigure it to extend my network wirelessly. Resetting the Airport Express is fine but it still doesn't appear in AirPort Utility.
You must switch ON Wi-Fi in System Prefs, Network. I didn't have it switched on because my Mac Mini is connected to the Airport Extreme with a network cable. The newly reset to Factory settings Airport is now available in AirPort Utility to select under the "Other AirPort Base Stations" button. Be careful of the default setting during setup. You do not want to use the AirPort Express instead of the AirPort Extreme (which sets the Extreme back to Default settings)
Connecting a New AirPort Express to a wired AirPort Extreme by first switching on Wi-Fi (which I wasn't using) was not intuitive. Remember to switch ON the Wi-Fi then switch it OFF after setup if you don't need it. And honestly one less thing in my living room broadcasting radio waves everywhere has got to be a good thing.