I'm sure that you know the name of the wireless network and password, but there is a third critical element involoved in getting the AirPort to join the network correctly, and that is that you must know the type of wireless security setting that your wireless router is using for the network.
In other words, the AirPort Express will not join the network unless 3 conditions are met:
1) Correct name of the network is entered
2) Correct password for the network is entered
3) An exact match of the wireless security settings is entered
It is 3) that causes the most trouble for users by far. They enter the wireless network name and pasword, but neglect the security settings.
Do you know the exact type of wireless security that your network is using? If not, you may need to refer to the documentation or ask your ISP if they provided the wireless router to you.
Post back with that information, and we will proceed.