There are different ways that an AirPort Express can connect to a network.
Do you have the Express configured to connect to your router using a wired Ethernet cable connection? In this type of setup, the Express creates a separate Wi-Fi network......which you will need to turn off.....if you don't need another wireless network.
Do you have the Express configured to connect to your Wi-Fi network network using a wireless connection? In this type of setup, the Express "joins" an existing wireless network and simply acts as a client of the network.
It appears that you may be using AirPort Utility for Windows to apply settings to the AirPort Express, correct?
Please keep in mind that the AirPort Express 2nd Gen was designed in the 2011-2012 timeframe, so it may not be able to join newer mesh networks that are using newer and different types of wireless security settings that did not exist 10+ years ago.