Setting up my AirPort Express with no ethernet cable I have a MacBook Air, and an AirPort Express. Currently, I have my AirPort Express in a different room than my wireless router.

How do I connect to my Airport Express wirelessly from my MacBook? When I go to the AirPort Utility, it does not find my Airport Express, and the AirPort is flashing amber/orange.
Check what wireless networks are available. It is possible your Airport Express is broadcasting a secondary wifi network. If so, try connecting to that network and searching for base stations again.

As a last resort, you can perform a reset. Try a configuration reset first (hold the reset button down with the tip of a pencil for a few seconds, until the led flashes rapidly). If that doesn't work, try a factory reset, by unplugging and replugging it, holding down the reset button.