It's optional, but in my opinion, it would still be a good idea to perform the complete network power cycle that I outlined above. This will give the network a "fresh start" and minimize the chances of an error occurring during the setup of the Express.
Perform a Factory Default Reset as suggested by Tesserax above.
Temporarily, locate the Express in the same room or close proximity to the Actiontec modem/router and power it on for a few minutes. Do not connect an Ethernet cable to the Express, as it will be configured using wireless.
Click the WiFi icon at the top of the Mac's screen and look for a listing of New AirPort Base Station
Click on AirPort Express just below that listing
That will get the setup "wizard" running to take a minute to analyze the network and likely suggest that the Express be setup to extend the Actiontec network.
Technically, it cannot do this, but it should be able to join the Actiontec network for use with AirPlay if the security settings on the Actionec are compatible with the Express.
Enter a name that you want to call the Express and then click the Other Options button.
Select the Add to an existing network option, if not already selected, and click Next
Follow the prompts, making sure that the name of the network and password are entered correctly.
If the setup is successful, you will see a message of Setup Complete and the Express will display a green light. Click Done and move the Express to the desired location and power it back up again. The Express needs to be located where it can receive a good quality signal from the modem/router wireless.