It seems that you are having some issues with the application for the iPhone, since you cannot connect and it shows a connection error message.
First, we recommend you to verify if the Slingbox is working in a proper way. You only need to test this connection using your computer. If it works fine and the issue persists on your Mobile device, I recommend you to uninstall the application and reinstall it one more time. If you do not know how to, just check this link.
If you are not able to get the remote connection, you'll need to run the Setup Assistant for Internet Viewing one more time.