It is not necessary to plug it into a router to configure it. You can connect via most wireless software.
One problem with having it "join an existing network" is that it is in client mode. Your PC is only streaming to it through the router. It will not allow you to connect to it wirelessly That means that the signal path is PC to router, then router back to the AE. This caused me a lot of problems.
The best solution for me was to create a WDS. That lets me use the AE as a communication node on my network. Much more solid, with minimized network traffic. There are 2 requirements: you must have a compatible main router (I threw away the Linksys and got a Buffalo) and you must have admin access to the router to set it up.
Apple's setup assistant caused me nothing but trouble. The airport admin utility works fine, but it takes some hacking to get it functional.
fwiw, I have 3 airport express distributed around my house. I can connect to any one with a laptop, and stream music off a drive server that is connected to my router. Much hacking and swearing, but it has been slam solid since I figured out the tricks.
Oh, if you do a WDS, give the AE different names. This gives you manual control over what node you connect to.
edit: In general you want to minimize the laptop to network leg, since the laptop transmitter is the weakest link. In my setup I connect to the AE that is in the same room with me. My laptop sends to and recieves from the AE. The AE does the same with the main router (which has a large external antenna). My audio stream goes drive to main router via cable, transmit to AE, transmit to laptop, decode by itunes, stream back to AE, optical to a dac. I would love to eliminate a transmit leg, but I am dealing with lossless files and more than one computer. This setup works like a dream.
gerG