I take it you did not get the remote with the Express?
The Roku app on your phone will only connect with a Roku that has already been set up on the same network as the phone is connected to. You can't use the app to connect the Roku to the network.
You will need a working remote to get the Express set up. It uses a basic IR (infrared) remote that you can purchase from Roku (the "Simple remote") here: https://www.roku.com/products/accessories/player
Or, you can find an inexpensive universal IR remote locally at a Walmart, Dollar store, etc. -- just be sure Roku is listed as one of the things it can control.
Here's a video from Roku that can show you the setup process: https://www.youtube.com/watch?v=FlUmRsVD6CY
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