"The base station you selected as a WDS main base station is not distributing IP addresses. Please use AirPort Admin Utility to set up this base station to distribute IP addresses."
This happens when you've set your main station to distribute a range of user-defined IP addresses, rather than using network address translation.
As the message suggests, you can avoid this issue by simply using AirPort Admin Utility to configure for this type of network (see how
here). AirPort Express Assistant handles only the most common network configurations, while AirPort Admin Utility can be used for all available settings.
Important: After encountering this alert message, your remote station's password may be set to match that of your main base station.