There is no way to configure anything much at all on an express or any apple router.
I can find very little recent info about WPAD and almost nothing except that Safari doesn't support it.
http://www.wikiguga.com/topic/34fb3e306a122afa6692741909a7438c
Since most people will use the express as a bridge device or repeater.. no setup is needed or relevant.
If you have already got some proxy setup in the network, and it is setup with DHCP and DNS all you need to do is bridge the airport..
But there is nothing there to add, subtract or anything else from how the setup works.