Since I'll be installing three of these soon, I figured that there's no time like the present to find out what the setup requires, so.....
Your player has no network connection. If it did, you would automatically see that it's connected. Make sure the cable is good and that it works with something else. I tried one that I suspected of being bad- it is. I tried a crossover cable, thinking that it may sort things out for itself- it doesn't. If you made your own cable, re-do the RJ-45 connectors or just buy one. It only takes one bad wire to cause a problem like this and they're cheap.
Once it's connected, you'll see that new firmware is available- update the player and then do the setup. It's not hard and the firmware update takes only a few minutes.