Is it possible to connect to multiple wireless networks?

No, but you can bridge the two access points. Use http://www.dd-wrt.com

 

I use DD-wrt myself, but it's only helpful if you have access to the router, and if that router is supported.

Just have the express join the connection from the main router, You'll want to password protect the speakers, as everyone on the network will have access and you don't want your roommates blaring music in your room at odd hours.

for ease of setup, if you have an ethernet cable, plug that between the express and your laptop while you're setting it up. Otherwise, join the express network from you laptop, set the express up to join the existing network.
Once the express reboots, if the light doesn't turn green, it means something is configured wrong. once again, the easiest way to see what is wrong is to connect via ethernet. that will let you see the problem and hopefully fix it.
Once it's working, you can unplug the ethernet.

 

I think this link covers it: http://onjava.com/pub/a/mac/2004/10/12/airport_express.html

If you don't have the Airport Express CD, click on spotlight (the little magnifying glass a the top right of the screen) and type in "Airport Utility."

Welcome to Mac.

 

He doesn't have an airport extreme as the main base station.

 

easiest solution, and agreeable to most college IT departments, is to add the express as a device on the network.

either via a cable, or wireless. If you configure it to join your existing network, it's basically considered a computer on the network, and not as an access point.

like someone else said though, password protect it, otherwise anyone with itunes and looking for airtunes speakers enabled will be able to connect to it and play music through your speakers.