Thinkof it like a VCR. It records what ever the source puts out.
If you have a directv box that supports more than one TV then you could do what you want. (one tv + one slingbox)
If you have digital cable and it only supports one tv, you would need a 2nd cable box.
However you can watch over-the-air HD broadcasts on the slingbox while the tv watches cable or something like that.