Extreme- wirelessly to Express - ethernet to 360.
If what you want to do is wirelessly extend your network, say, to your basement with the Airport Express and then connect Ethernet to your Xbox, be assured this works just fine.
BUT ITS A PAIN IN THE ASS (at first)
I know just about nothing about networks so hooking these things up has to be simple for me, or Im screwed. This is my story:
-Open Airport Express, plug into wall in basement watch it fire up and flash orange (cant connect to wireless network).
-Go upstairs and find that Airport Utility does not see my Express. Go back down bring it up stairs.
-Plug it into wall in computer room, still no connection.
-Plug ethernet cable from Airport Extreme to Airport Express. FOUND!!
So here is where the story is hard to explain. Make it easy on yourself and plug the Express directly into the extreme via ethernet. Modify all the settings, wireless network name/password etc. You should be able to (at least I was) disconnect the cable and still have it connected (wirelessly).
Make sure you have it set to connect wirelessly, and to 'Extend network'
after that you have to go to your airport extreme (in Airport Utility) and click the box that says 'allow network to be extended' a no - brainer once you see the box, but if you dont know its there... add frustration.
To save yourself the exercise do as much as you can in the same room. When you have the Express set to 'Extend network' and you are able to unplug it from the wall and all cables and plug it back in and get the green light you know you are close.
Now I am able to sign into xbox live, AND (the main reason I wanted this) stream movies from my iMac upstairs through my network and through the xbox 360 so that Im watching movies on my comp on my projector. (download connect 360 for this, if you want movies from comp)
Hope this helps. It wasnt easy for me at all, but once it was all done it seemed fairly simple. GL!