Make sure you configuration the IP address of your SoundBridge in the configuration page (Commands->Configure). When the application starts it will use the currently selected server or attach to the server you configure. The “default server” configuration option allows you to choose which server is automatically connected. This is a number where 0 is the first server, 1 is the second, and so on.
If you wish to use the iTunes library then you must include a path to your iTunes XML library. The default path is C:\Documents and Settings\You\My Documents\My Music\iTunes\iTunes Music Library.xml. Press the default button on the configuration screen and it should find this default path for you.
After you have configured your SoundBridge IP address the first time, either restart the iBridge or use the commands->connect option.