That amazon bought remote is an aftermarket made remote, its not Roku made remote. If the batteries are in correct it should just work with your express if it has a line of sight to the front of the Roku.
All IR Roku remotes on amazon are aftermarket brand remotes. You can purchase Roku Wifi voice remote from Amazon:
Roku remotes that control via WiFi (i.e. the two Roku Voice Remotes) must be paired with the Roku to be controlled.
The remote you ordered is an infrared (IR) remote. You don't pair an IR remote, you just point it at the Roku and press a remote button. Be sure you have a direct, unblocked line of sight from the remote to the front of the Roku, where its IR detector is located.
