I'm guessing that it keeps giving itself an address beginning 169.254, yes? If so, then this is a UPnP address. These are auto-assigned every time. If this is the case, you've got two choices:

1. Configure the empeg for a static address in the same range. This is generally safe, if not completely in the spirit of UPnP.
2. Configure your PC for something in a private range (e.g. 192.168.x.y), and the empeg for something in the same range (e.g. 192.168.x.z). This is the correct answer in this case.

If you're at work, then the empeg is probably being given an address by a DHCP server. Theoretically, a device should be given the same address as last time, if you reconnect it before the "lease" on the address expires. If you're getting different addresses in this case, you've got another two choices:

3. Hassle your admin to make the leases longer -- reducing the chance that the address will be reclaimed.
4. Ask your admin to assign a fixed address to the empeg -- the DHCP server can be configured to always hand out the same address to the same device.

IMNSHO, the correct thing to do is to run a DHCP server at home, and go for option 4. If we can persuade everyone to run DHCP servers, then we can take our empegs to anyone's house, or take them to work, and they'll "just do the right thing". This is overkill for most people, however.