What happened when you did press "OK" to disconnect the phantom user? You might also try rebooting both your SB and your router -- if you have access to them -- to see if that clears up the phantom user.
And do note that just because you haven't given your password to anyone does not mean that someone might be attempting to watch your SB and has correctly "guessed" your password.
I find it rather scary on how "easy" it appears to be for hackers, gurus, or IT ninjas to interject themselves into someone's Wi-FI network to steal passwords or content or play themselves off as a "Man in the Middle". *** Edited to observe Slingbox Answers Forum House Rules by Moderator. ***
If you lost the connection by any reason, this is a normal message.
On restart some minutes after the lost connection, the "old stream" is still active and the software does not reconize the stream is previous activaded by itself.
The stream willl be stopped after some minutes, at least, an hour or so.
If you don't restart until the next day the stream will be gone, but don't be afraid, most likely the other user is your self, answer yes to take over.