Sharing USB Printer PLEASE HELP ASAP!

It dose if you are going to set the airport up using wireless client. The flashing amber light means it not connected to your network. I suggest you plug the airport next to the router to see if it links. If it dose you range it to far.

Must it be connected
to my router to work???????

Yes.

Are you running any kind of wireless security on your D-Link Router?

Reset the Airport Express and try again.

Resetting AirPort Express
http://docs.info.apple.com/article.html?artnum=108044

One of the problems with WEP is that the actual standard relies on a 10 character HEX key for 40bit WEP and a 26 character HEX key for 128bit WEP.

In order to make things easier for people, vendors use certain algorithms to convert simple alphanumeric passwords (or passphrases) into HEX keys, thus enabling people to use simple memorable WEP password rather than lengthy HEX keys.

The problem is that different vendors use different algorithms to generate the HEX key and therefore a ASCII password on an AEBS will be hashed differently on a Netgear client and vice versa.

One thing is a 13 character 128 bit WEP password will be hashed by all vendors in the same way (if you use 40bit WEP then a 5 character password is required).

Though sometimes not even that works and the HEX key must be used regardless.

AirPort: Joining an encrypted wireless network
http://docs.info.apple.com/article.html?artnum=106424

Choosing a password for networks that use Wired Equivalent Privacy (WEP)
http://docs.info.apple.com/article.html?artnum=108058

I suggest you rest the airport and try setting up again. I think the problem is that you are not getting a link with the router. Another thing to check is to see if you printer is compatible with the airport. But it sounds like you first problem is the wireless link. Good Luck!

Is you router broadcasting its SSID. I would check that if that is not it. take the airport express and plug it near the router and set it up. What kind of router is it.

it's a D-Link DI-514. In the user guide it doesn't
says anything about it having it to be plugged into
the router just to share a printer.

It doesn't.

But I was told
here it does have to be

It can be useful to do this in order to correctly configure the Airport Express and to check it is in fact working.

and when I connected it to my
router now it works.

This implies that your problem is more than likely down to a wireless security issue.

You can confirm it is a WEP issue by temporarily turning off WEP and seeing if you can now configure the Airport Express to join your network wirelessly.

Also it refuses to join my network and it
will only create it's own network and yes it is
broadcasting it's SSID because it shows up in the
airport setup assistant.

Is your D-Link broadcasting its SSID?