1. if your AirPort is configured then connect your Mac to the AirPort Wifi and open Airport Utility (Applications > Utilities)
2. open the Music app, choose the top right icon to the right of the Volume slider and select your AirPort Express by name
If it’s not configured then connect both to a hub using Ethernet and use AirPort Utility.
To return AirPort Express to the factory settings:
Use the end of a straightened paper clip to press and hold down the reset button for ten seconds.
More on configuring it: