I moved all the posts regarding this topic into this thread and cleaned up some of the text so that this conversation is easy for others to follow
wawaron - it sounds like you've already got your AV receiver and Blu-ray player connected to the internet. And yes, this is actually a very simple process. Regardless of which internet provider you're using all you have to do is run an Ethernet cable from your home network router to each component that you would like to access the internet. Generally there are no settings which need to be configured in software or the router. I've got all of my AV components (TVs, Blu-ray players, Xbox 360, PS3) connected to my home network with Ethernet cables. I love the ability to download firmware updates directly from the component, it makes it so much easier to keep all the components up to date. And it the case of video gaming consoles, it is absolutely critical to have them connected to the net. Almost every game has updates released for it to fix various issues/bugs.
The only time when you do have to configure some settings is if you would like your AV equipment to access music, pictures or movies from your home computers. In this case, you have to configure Windows Media Player to allow you to access the content stored on the computer.
In regards to the vTuner on the Anthem receiver did you figure out how to add custom internet radio stations?