As far as I know this is an undocumented feature of the Airport Express. When set up to extend an existing wireless network, Airport Express becomes a ethernet to wireless bridge, with a dhcp server running on the ethernet port. This is a great way to connect any computer that has ethernet, but no wireless capability to your wireless network.
I found this out when I got frustrated waiting for an Airport Adapter on backorder for one of my old indigo slotloading iMacs. The Extreme costs ~$20 more than an 802.11b Airport card + adapter, but is available today, not weeks from now... and also extends my wireless coverage to my whole house including front and back yards!
Mac OS X Hints
http://hints.macworld.com/article.php?story=20040927125820995