If you set up the Express using an Ethernet cable attached to your other AirPort router, AirPort Utility assumes that is the way that you will leave the Express permanently connected.....and it applies the settings accordingly.
If you intend to have the Express connect using wireless, then you need to set it up using wireless......not Ethernet.
The manual assumes that you are connecting your main router to a modem. That is the way that your AirPort Extreme is connected now.
You are asking about connecting another device.....the AirPort Express.....using wireless. This is not covered in the manual. Apple assumes that you will somehow know how to set up the Express because it is easy.
A different example......Think of it this way.....if you wanted your Mac to connect to your network using wireless......you would not connect an Ethernet cable from the router to the Mac and try to configure the wireless on the Mac.
Hold in the reset button firmly on the Express for 10 seconds and release. Allow a full minute for the Express to restart to a slow blinking amber light.
Do not connect an Ethernet cable unless you intend to leave the Express connected permanently this way.
If you have an iPhone or iPad handy, tap Settings on the home page, then tap WiFi
Under the heading of Setup a New AirPort Base Station, tap on AirPort Express and follow the prompts.
If you want to use your Mac (Mavericks 10.9.1 is a mess...and may not even recognize the Express wirelessly)
Open AirPort Utility
Click Other WiFi Devices
Click on AirPort Express
Follow the prompts
We can post screenshots if you need them.
Thank you Bob. I got it workign from a mac running mavericks 10.9. However on my new mac running mavericks 10.91 your correct it doesn't recognize it. I am running into the same issue with my iphone as my newer mac with 10.9.1.
I will keep messing with it to see if i can get it figured out.
One more thing. On my newer mac it allows me to select the express in itunes to get the music to play thru it.