The AirPort Extreme is not a modem, so you have to connect it with an Ethernet cable to your modem, so it can get Internet. Note that it must be connected to the WAN port of the AirPort Extreme.
Then, on your Mac, open AirPort Utility (in /Applications/Utilities) and follow the steps to set up your AirPort Extreme
You also do have the option to extend the WiFi using the base station in the airport utility, meaning you can have it plugged in somewhere else as a wifi extender.
However mendi1's solution is the recommended setup and may give you better network performance than your piece of kit you have