The problem is that Airport Utility recognizes the extended AE (set to bridge mode) but the second setup step asks for a wired LAN connection into the WAN port - as on the base station (connected to the modem).
I'm not sure which "second step" that you are referring two. The setup "wizard" will not ask for this.
Please try the following:
Power up the second AirPort Extreme for a minute or two
Hold in the reset button on the back of the AirPort Extreme for 7-8 seconds, then release
Allow a full minute for the AirPort Extreme to restart to a slow, blinking amber light status
Temporarily, locate the second AirPort Extreme close to the "main" AirPort Extreme
Click the WiFi menu at the top of the Mac's screen and look for a listing of New AirPort Base Station
Just below that listing, click directly on AirPort Extreme
When you click on AirPort Extreme, the setup "wizard" will open up automatically and take a few seconds to analyze the network, then display a screen that looks similar to the example below, except that you will see your devices and network name displayed
Type in a short simple name that you want to call the second AirPort Extreme
Click Next, and the setup "wizard" will automatically configure the second AirPort Extreme with the correct settings.
When you see the message of setup complete, click Done
Now move the second AirPort Extreme to a location that is about half way between the "main" AirPort Extreme and the general area where you need more wireless coverage.
Power up the second AirPort Extreme, and you should be all set.