Have used with Mac and PC. You could try this roundabout way. Use Airport Admin Utility to do the setup, if Airport Express Assistant is not doing the job for you. Connect the Airport Express by ethernet cable to your DSL or cable modem or router (don't have to connect to stereo at this point). Configure the AE to be a base station, i.e., to "Create a wireless network," not "join existing network." After that, disconnect the AE, connect it with stereo, and go wireless. Start up Airport Admin Utility again. Your PC should recognize the AE; this time configure AE to "join an existing network".
Does this help?
Does this help?