This problem may have 3 causes:
Your speaker is not within reach of your router's wireless signal and thus cannot connect to it. Ensure that your router and your speaker are within range of each other.
Your router does not support the Wireless B/G standard or it has been disabled in the network configuration of your router. Ensure that your router supports the Wireless B/G standard and that this option is enabled in the configuration of your router. The Wireless N standard is not supported.
Your router is configured to hide its Network Name (SSID) and thus your network will not be shown in the list of available networks in the setup page. The workaround is to change the network settings of your router to temporarily broadcast the SSID of your network while setting up your speaker. Once your router has SSID broadcast enabled the normal AirPlay setup process can be completed. Upon completion of your speaker setup (signalled by your speaker pulsing slow white) you can change the router configuration back to a hidden SSID.