Yes. The soundbridge is not assigned with an IP address, which is called DHCP. Normally, a router takes care of DHCP (assigning every connecting device with an IP address). But when you connect the soundbridge directly to the nslu2 with a crossover, none will get an IP.
For the nslu2, you can setup your own IP, but I don’t think the soundbridge can do that.
So I guess it just isn’t possible having the connected directly. The nearest solution is buying a cheap (wired) router, and placing that one between the nslu2 and the soundbridge.