This is taken from another forum. This is also the issue i had, once when i first got it and once about 3 months later for some reason.
This is not my post but thought it would explain the issue better than i could.
Problem:
"I'm trying to use my Airport Express to stream music from iTunes on my Windows PC. It's fresh out of the box, I've plugged it in to my stereo and to the wall, and I get the flashing amber light indicating it can't find the internet.
I have an 802.11.g wireless router (not an Airport Extreme base station). I'm connected to the internet, and the wireless part is working. I know this because I'm online here, and my wife's laptop is connected to the internet wirelessly through the router. I've repositioned the Airport Express several places, and still the flashing amber light.
According to the instruction book, I need to connect the Airport Express to the wireless network using the Airport Utility, and "follow the onscreen instructions." However, there are no instructions because the utility just says "Airport utility was unable to find any Airport base stations." Re-scanning results in the same message.
I dug through some other forums, and figured out how to add the Airport ID printed on the case, or the MAC, to my router's access control list. Still no luck."
Solution:
You have to override Airport Express's default desire to make itself the hub of a new network, and force it to be added as a client to your own network.
First, plug the Airport Express into the wall, then reset it by holding down the reset button with a paper clip for about ten seconds. Plug in an ethernet cord that's attached to your wireless router.
Open the Airport utility which you should've installed from the cd in the package. It should now recognize your Airport Express and the light will turn green. Be patient...mine took awhile, and even started flashing amber before it worked.
You will need to manually configure the AE from the utility by typing in the name of your wireless network, setting AE to "join an existing network" instead of its default "create new network," and enable Airtunes.
You may need to add the "Airport ID" printed on the case of the unit to your router's MAC list. This allows the router to recognize the device. Type your router's IP address into the address bar of internet explorer to access the router settings."
Airport Express won't find my wireless network - MacTalk