The set up should be fairly straightforward. You will want your Express to be in its default configuration which is a wireless router that will broadcast an unsecured wireless network with a network name of something like: Apple Network XXXXXX. You can get your Express back to this default configuration by performing a "factory default" reset on it. Note: The Express' status light will continue to flash amber as it is letting you know that some additional configuration steps may still be needed. You can use the AirPort Utility on your iPhone to disable any of these messages.
Once that is completed, your iPhone should now find and give you the option to connect to this wireless network. You would then use your iPhone as you normally would to start the stream.