"Hard reset" the Express and configure it using AirPort Utility.
The following is an excerpt from Resetting an AirPort Base Station or Time Capsule FAQ
- Press and hold the reset button with a pen or pencil until you see the status light (LED) start to flash amber rapidly, which should occur after about five seconds.
- Release the button, and the AirPort Base Station or Time Capsule will hard reset.
... How should I connect it ?
The answer depends on what you want it to do. The Express is very flexible.
Unfortunately, it sounds as if you have an older version of the Express that cannot be configured with the version of AirPort Utility that you have.
Check the side of the Express for the model number. If you see A1084 or A1088, this is an older version of the Express.
What operating system.....Snow Leopard, Lion, Mountain Lion, XP, Vista etc..... are you using on your Mac or PC?