Hi briannovotne, I suggest you look at the PRO HD's user guide to choose what is the best way to connect your Slingbox to your Cablebox, the community will be happy to help you further if your provide more information like the model of Cablebox that you have and the type of Cable service that you are using.
I'd suggest the following:
The coaxial cable provided by comcast from the wall should go as follows:
The wall plate coaxial goes to the input of a 2 way splitter. Using another coaxial cable, connect one of the outputs of that splitter to the cable box. Using another piece of coaxial, connect the second output of the splitter to the slingbox pro hd's coaxial input connector.
Then connect the cable box as follows:
Use a component video and audio cable (red/blur/green vidfeo set and red/white audio set) from the out put of the cable box to the slingbox's component video and audio inputs). Connect another set of component video and audio cables from the slingbox's passthru output connection to one oof the TV's component video and audio inputs.
This connection will alow for your TV to contiinue to work in HD (given that you have your TV set to the input you have the cable set connected to (ie compoinent video input 1), as well as stream both locally and remotely in HD to your slingbox viewer. Furthermore, it allows for both simultaneous viewing of the cable box at the tv location as well as the remote location and or the ability to watch the basic cable lineup at the remote location independant of the teathered local cable box's "slave" TV.