Setup of the AirPort Express is going to be much easier than you might imagine, although we'll go step by step here.
First, power on the AirPort Express for a few minutes, then hold in the reset button on the Express for 9-10 seconds and release. Allow a full minute for the Express to restart to a slow blinking amber light.
Connect the Ethernet cable from one of the LAN <-> ports on the AirPort Extreme to the WAN "O" port on the AirPort Express. I assume that you have previously tested the Ethernet cable to make sure that it is working correctly.
On your Mac, click on the AirPort icon at the top of the screen and wait a few seconds for a listing of New AirPort Base Station. Just below that, click directly on AirPort Express.

AirPort Setup will open up automatically, take a minute to analyze the network, then announce that the Express will be configured to extend the AirPort Extreme network.
Enter a device name that you want to use for the Express and click Next
Now AirPort Utility will confirm that the Express is being configured to extend using Ethernet.
When you see the message of Setup Complete, click Done
That's it. It might surprise you though, to learn that the Express has actually been configured to "create" a wireless network in this type of setup.