That's strange. Let's see...
The greeting message and the prompt look something like this:
Welcome to the SoundBridge Shell version 3.0.52 Release
Type '?' for help or 'help <command>' for help on <command>.
SoundBridge>
and that's where you enter the ipset command.
Did you:
1.) check the ip address the soundbridge has allocated? Should be similar to 169.254.85.23 (the last two might be almost "anything", but should start with 169.254.)?
2.) manually (and only temporarily) configure your computer's ip to 169.254.1.1/255.255.0.0 as suggested?
3.) (in a cmd window) telnet to your soundbridge using
<ENTER> (where 169.254.x.y is your current soundbridge ip)?
If you did say "yes" to all three items on the list then you should be able to see the prompt.