Unfortunately, Apple does not make it easy for you.
"Extend using Ethernet" appears in the setup "wizard" when you are setting up the Express, or another AirPort......but Apple does not ever tell you that the actual setting that is being applied is "Create a wireless network".
If you use the setup "wizard", you don't have to worry about the correct settings....they will be applied to the AirPort Express automatically.
If you are trying to set up the Express manually using AirPort Utility, then the correct settings under the Wireless tab would be.....
"Create a wireless network"
Same wireless network name as the main router
Same wireless security as the main router
Same password as the main router
"Off (Bridge Mode)" under the Network tab
My recommendation would be to set up the Express again and use the setup "wizard". Post back when you are ready to do that and we'll provide some additional tips at that time.
Not sure what you mean by "no WiFi". Your devices will only "see" one wireless network, not two.