I think you're referring to "transparent mode" firewalls, but SME doesn't do this.
Sonicwall & Watchguard, for example, both have a "transparent" mode, where you don't reconfigure any network devices but just drop the firewall between the network and the existing router - the internal interface assumes the IP of the router so that workstations don't need to be reconfigured, and then automagically configures itself to allow communications with the existing gateway.
"bridged" or "bridging" firewalls may be the same thing.