The express is a bass station - you need to set it up that way.
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First reset the AE by holding in the small button while plugging it in and continue to hold it for >15 seconds. The light will change color and flash. Then use the setup utility and designate it as a client. Viola!
Apple is amazingly weak on their instructions for how to use this with anyone elses gear, but this is all you need to do.
If you can get the URL for the an Internet radio station, iTunes will play it. Go to Advanced|Open Stream and paste or type in the URL. After it's playing you can find the entry in your library and transfer it to a separate playlist if you like. I've done this for all my local stations that stream, and a few others that aren't in iTunes Radio.
If you only have a playlist for a station, edit it in any text editor and the URL will be buried inside. Then follow the instructions above.
The only exception is if the stream is in a format iTunes can't handle, like AACplus. One of our local stations uses it and I have to use VLC to play it.
you can also use airfoil to connect anything that plays on your computer to the airport express.
"Airfoil was built with one purpose in mind - enabling you to send any audio you want to Apple's AirPort Express device. Airfoil works in conjunction with your AirPort Express and any audio player. Use it to send audio to your AirPort Express from Realplayer, Windows Media Player, QuickTime Player, or even your web browser. With the ability to send almost any audio to your remote speakers, Airfoil and your AirPort Express make a great pair."