Airport Express: Help Setup

I recently installed AE and I thought everything was going well.
My selections are not being saved in my set up.

I have my AE connected hard wire to my router, a wireless linksys.
I'm able to see my AE and the connection went fine there.

What I want is to be able to connect to my existing wireless network and extend the range/network through out my house.

I follow the prompts in set up to where I get the screen to create a wireless network. I don't want to create a wireless network, I want to connect to a network using ethernet to extend the network.

So I click change settings >connect to a network using ethernet to extend the network > continue

From there I get asked to select the device or network that AE will connect to using ethernet. My first option to show up is my base but what I am looking for is my router or network, right?

So I find my network name and select continue. I then select my security and enter my PW.

The last screen has my final set up and it shows that I am set up to create a wireless network... <not sure if that is correct??>

So I click finish... AE updates and restarts... and when I go into AE again my settings were not saved.

It's like my AE was connected but never configured.
How can i correct that?

So I need to go and buy an Extreme to extend my network then?
Why is that?

My understanding was that my Linksys router would work well with Express
for what I wanted.

Maybe I didn't understand what I read then??