Could be problems, then.
Try the setup on an iPad.
On the iPad home screen......
Under the heading of Setup a new AirPort Base Station....
Tap on AirPort Express
Follow the prompts
If still no luck, I suspect a defective Express, as I'm testing with an A1264 here and the setup works perfectly with an iMac or iPad
Temporarily, connect an Ethernet cable from your Mac to the WAN "O" port on the AirPort Express for the setup.
This assumes that you are trying to configure the Express to wirelessly join or extend an existing network. Things are different if you are connecting the Express to an modem.
Post back to tell us what model of Express you have in that case, and what operating system you are using. It sounds like you are no longer using OS X (10.6.x) as you indicate in your profile.
Once you have the Express configured and the settings have been updated, you can disconnect the Ethernet cable.