The Airport Express is dead simple to setup... with an airport extreme router, with anything else you might be asking for trouble such as a netgear or linksys and so forth.
Though if I understand correctly, should be able to physically plug the mac into the express and configure it by that means.
Least the way it should work is act like a bridge, being a DHCP server in a sense to any connection ethernet devices that could just hop right online. Just as I said the only main concern is getting a compatible router.
Though ideally you'd want a Airport Extreme base station if you're going to be using multiple other apple-branded networking products. But... 179$ compared to something under 40$ might seem like a bit of stretch.
At home I'm using a Dynex (which I think is a belkin rebranded for Best Buy) wifi-G router with my macbook, but I never attempted to use a Airport Express Base Station with it.
At work before we got the AirPort Extreme routers, they had linksys hooked up, we could never get the express base station to work with it.
By the way the cheapest and probably the most pratical way to set this up is to buy a Wifi-N or -G (N will give better speed when transfering between mac and PC) router, and have the PC physically pluged into one of it's Ethernet ports, then have the mac going wireless off it.
Otherwise if you can't physically have the desktop connected to the router, you'd have to get the router plus an express base station (or other wireless bridge device). ... or you could just install a WiFi card into the PC.
Standard Router with either WiFi-G/N - 30$ to 99$
Standard Router (30$ to 99$)
+ AirPort Express (99$)
AirPort Extreme (179$) physically to PC
AirPort Extreme (179$) + AirPort Express (99$)
WiFi Card in PC (40$ to 80$)
Standard Wifi G or N router (30$ to 99$)
Personally if it were a Desktop PC with a PCI slot, I'd just buy a mid to high grade Wireless Card and install that, and not try to mess with an external dongle, but the Express does offer other benefits such as connecting just bout any ethernet based device to the wireless network, to sharing printers, as well as sharing audio. And the extreme would also do the same plus allow for networked storage.