Actually, a few important questions, and this may be really easy.

What version of Windows are you running?

Do you run any firewall software?

Does your cable modem automaticially assign you an address?

If it's a recent version of Windows (ME, 2000, XP), and your cable modem assigns you an IP, you can simply unplug the modem and plug in the empeg (assuming all cables are correct) and have it work. You need 2.0 software on the empeg. Any time these newer versions of Windows loose their link and gain a new one, they will try to obtain a new IP. If noone answers, it sets it's self up with one, as does the empeg (as robricc explained). Keep in mind this does delay the time it takes to see the empeg, but it will work.

If you are not running XP, it would probably be easier to just use USB for the empeg , as you never know when you might want the internet connection. Emplode can take a while to sync music, and it has no proper way of stopping a sync.