This annoying and unhelpful message is very common when attempting to change an AirPort Base Station's configuration. The best solution is to "hard reset" the Express and configure it anew.
Make sure the Ethernet cable is intact and connected at both ends, power up the Express, then press and hold its reset button and keep it depressed long enough - eight to ten seconds - for its LED to flash amber rapidly. Then, release the button, select the Express in your Mac's Wi-Fi icon, and configure it using AirPort Utility.
On occasion, AirPort Utility will not find or recognize the Express after it has been reset. If it does not appear, click the Other AirPort Base Stations button at the upper right and see if it appears there.
This assumes you are using AirPort Utility 6.x.
If you are still having problems reply with the version of AirPort Utility you are using and at which point you are getting stuck, and I will find some applicable screenshots.