If you have another Apple router already producing a wireless network signal, and you add an Airport Express, the setup "wizard" will by default configure the AirPort Express to "extend a wireless network" to provide additional wireless coverage.
If you want the AirPort Express to operate in "client mode"......in which case it will not provide additional wireless coverage.....you will need to use AirPort Utility to go into the settings for the Express and change the setting for wireless network mode from the current "extend a wireless network" to "join a wireless network". When the Express "joins" a network, it is in client mode......a fact that Apple does not make very clear.
So, if the scenario above might apply to you, then you can change the setting on the Express to "join a wireless network" and the Express will be in client mode.
IF.....your wireless network is being provided by a third-party wireless router, then the setup wizard will configure the Express to "join a wireless network" automatically, so the Express is already setup in "client mode"....but you may not have been aware of this.
If you want to check some settings on the Express, or set it up again and need some tips, we need to know what operating system you are running on your Mac, or whether you use an iPhone or iPad for the setup of the AirPort Express.
This Apple document might help......or it might make things more confusing.
AirPort Express: How to join an existing Wi-Fi network in client mode - Apple Support