I received an Airport Express as an early Christmas present from my Mom today. (Thanks, Mom!) According to Apple, even benighted Windows users such as myself can use this handy device to play iTunes through a home stereo, as a wireless access point, or as a print server. All I wanted was to wirelessly connect my iTunes library to my home stereo, and that's certainly possible--I'm listening to Clifford Brown and Max Roach as I write this--but easy? Well, not so much. Assuming you can get the Airport Express connected to your stereo on your own, here's what you have to do to be able to play iTunes via your wireless network:
First, I'll admit that I made things harder on myself by my refusal to "upgrade" to XP Service Pack 2. I tend to think that "SP" stands for "Satan's Playground," and I'm sticking with SP 1, thanks very much. However, that means that I had to jump through some additional hoops to get the Airport Express to work. If SP 2 works for you, I suspect you'll have an easier time of it.
Second, to allow my Win XP SP 1 machine to even see the Airport Express, I had to open Port 5353. If I'm mucking about with "ports" I'm in far over my head, but it was too late to quit. Thank the Lord for some UK outfit called iFelix--just follow their instructions. (Note that iFelix has an extensive Airport configuration FAQ. Good stuff, better than Apple's.)
Third, now that you can see the Airport Express, use the surprisingly crappy Airport Admin Utility (which comes on the install CD) to enable AirTunes on the device. (Given that this function is a centerpiece of their Airport Express marketing materials, one might think that Apple would enable this function from the get-go...but one would be wrong.) After opening the Utility, select your device, click "Configure," go to the "Music" tab, and check "Enable AirTunes on this base station" AND "Enable AirTunes over Ethernet". Click Update and OK out.
Fourth, open iTunes and go to Edit > Preferences > Advanced, and select "Look for remote speakers connected with AirTunes". Close and re-open iTunes, and you should see a new menu box in the lower right corner of the screen that will allow you to toggle between your computer's speakers and your Airport Express.
So far, so good. I can use the iTunes interface, I can fit more music on the laptop, and no more trudging across the room--one small step for man, one giant leap for couch potatoes.
UPDATE: In the comments Mark McDonald links to what looks to be very handy step-by-step documentation for setting up an Airport Express on Windows XP. Thanks, Mark!