It seems that you want to know how to get the SlingPlayer software icon on your computer.
You only need to download and install the SlingPlayer software on your computer. If the icon does not appear automatically, I recommend you to finish the installation. Then, click on the Windows (left hand side bottom corner) and go to Programs. Look for the SlingPlayer software and right-click on it. Select the option that says "Shortcut" or "Create Shortcut".
Since the StandAlone Player is being phased out of support, the only way to watch is from a webpage. I resurrected this thread to explain how to do this for the webplayer.
HINT: You can create a shortcut to the watch.slingbox.com site and place on your Windows desktop. It is very easy to do. From Moxilla Firefox, drag the icon to the left of the location bar onto your desktop. You can get fancy by changing the displayed icon via the right-click-->properties-->change icon
I haven't tried it doing this on other browser types, but I'm certain it's possible.