By default, the AirPort Express will broadcast an unsecure Wi-Fi network with a Network Name (or SSID) of something like: Apple Network NNNNNN. You would connect your PC to this network just like any other wireless network. Is this not the case?
You should not have to install anything on your PC unless you want to administer the Express. Then you would just insert the CD that came with the Express to install both the AirPort Utility (for Windows) and Bonjour. The Utility would be used to make any changes you require to the Express and Bonjour makes it easier for your PC to "find" printers attached to it.