By default, the AirPort Express will broadcast an unsecure wireless network with a Network Name of something like: Apple Network NNNNNN. Your iPad should "see" this network and be able to connect to it. Have you tried going through the iPad's Settings > Wi-Fi > Choose a Network... option. If so, does the AirPort's wireless network appear in the list of available networks?
Can other wireless devices connect to the AirPort's network?