Best answer by Airgetlam
That's likely what the folks on the live chat were trying to say. So, yes, you need a router to hang the Play:1 off of. You can either connect it via local wifi, or connect it directly to the router with an ethernet cable , but it does require a router (i.e. it can't be connected to your computer via the ethernet connection, to my knowledge, unless your computer is set up to be it's own router, which I don't even know is possible).
But without that connection to the whole "world wide web" thing, you won't be able to get the majority of the music that would be available.