Isn't it fun trying to do things without an ethernet cable direct to the computer.. Apple sell a usb to ethernet adapter cable fairly cheap.. makes life a lot easier having something to do hard connections.. or as hard as usb can manage.
Since you have to access the TC by wireless .. press and hold the reset button on the TC for about 10sec until front led flashes rapidly.. don't worry about the ethernet cable.. leave it disconnected.
Now click on the airport symbol and join another network. The TC should revert to its home name.. which will be a combo of Time Capsule and its MAC address. There is no wireless security and you can do the setup.