I can definitely understand your frustration. I would recommend taking a look at the User's Manual for the Airport Express. Starting on page 14 are the set up instructions for the Airport. I would also recommend that if Airport Utility doesn't see the Airport automatically, you can connect it directly to your computer using an Ethernet cable going from your computers Ethernet to one of the 3 LAN ports on the back of the Airport.
Hope that helps,
- Griff W.