Why is my Airport Express flashing yellow?

• Click the Wi-Fi icon in the menu bar, then choose New AirPort Base Station.
• Open AirPort Utility, located in the Utilities folder in the Applications folder. If the setup assistant doesn’t start automatically, click the Other Wi-Fi Devices button.

1. Select your base station name (for example, AirPort Extreme), then click Continue.

2. Follow the onscreen instructions. The setup assistant automatically provides the smartest solution for your network. If no network is found, the setup assistant creates a new network; if a network is already set up, the setup assistant extends the existing network. If you want to do something other than what’s suggested, click the Other Options button, then choose an available option.

As per the article : AirPort Utility 6.x: Set up a new base station

Your Wi-Fi base station status light blinks amber.

Here are some of the more common reasons that the status light may blink amber:

• The Wi-Fi base station has not yet been configured because it is new.
• The Wi-Fi base station has been reset.
• A new firmware update is available for the Wi-Fi base station.
• No IP address is available for the Wi-Fi base station.
• A Wi-Fi base station in Extended Mode is out-of-network Wi-Fi range of a primary Wi-Fi base station.
• The WAN Ethernet cable is unplugged from the Wi-Fi base station.
• The Wi-Fi base station lacks a path to the Internet (or local router).
• Internet access may be temporarily unavailable from your Internet Service Provider (ISP).
• Your AirPort Time Capsule has detected that the internal hard drive has reported a SMART error, and is failing (This requires firmware 7.5.2, and AirPort Utility 5.5.2).

An article to be read : Wi-Fi base station: Understanding and resolving a blinking amber status light - Apple Support

1. 

Eliminating the blinking, amber status light may require making changes to a specific setting, or putting a checkmark in the "Ignore" checkbox beside any option you don't wish to change. A checkmark simply tells the AirPort that you are aware of the issue and you have chosen to ignore it. For example, you may wish to leave your AirPort open without a password so that anyone can join your wireless network.
2. Click Update to apply your changes (the Wi-Fi base station will restart).
3. After the Wi-Fi base station has restarted, the status light should be green and not blinking. If the status light stays amber in color and blinks after the Wi-Fi base station restarts, you may repeat the steps above.

Make sure you have latest firmware update .

One more article : AirPort Utility 6.x: If the base station light is flashing

Open AirPort Utility

Click on the AirPort Express

Look for a Status setting

Click on the small amber dot next to the message about No Internet Connection and you will see an option to "ignore" that "notice". If you accept the option, the AirPort Express will display a green light. If you don't, it will flash amber forever and ever.

AirPort base stations: About AirPort base station status lights (LED) - Apple Support

To resolve flashing amber status light conditions click here to learn more. Launch AirPort Utility to find out what conditions are being reported.

You might have missed the part about DesertSage telling us that he cannot "see" the AirPort Express when he opens AirPort Utility......so it is not possible to find out what conditions are being reported.

If you have not already done so, power down the AirPort Express, wait a few seconds, and power it back up. Restart your computer as well.

Report on your results.