Setting up my AirPort Express with no ethernet cable
Check what wireless networks are available. It is possible your Airport Express is broadcasting a secondary wifi network. If so, try connecting to that network and searching for base stations again.

As a last resort, you can perform a reset. Try a configuration reset first (hold the reset button down with the tip of a pencil for a few seconds, until the led flashes rapidly). If that doesn't work, try a factory reset, by unplugging and replugging it, holding down the reset button.