As a follow-up to this, in case anyone else does a search here, I purchased a Linksys branded, Cisco made unit ("LKS WGA11B") that was marketed towards PS2 and X-Box game systems. Plug the games into this guy and they can either go head to head or connect through a wireless router and access the internet. Ditto for the Rio as well apparently.

Took about 5 minutes total, it was so easy it was ridiculous. Plugged it in and - didn't even need the setup CD. The Rio Receiver picked up music right away.