Probably best if it's set up at the place where it will be in operation. First, so that any networking issues are dealt with at the place it will be during set up. Second, so the video sources (coax cable, cable box, DVR, etc.) are all attached during setup.
It is possible to configure the Slingbox ahead of time before you send it where it needs to go, but it can be a real pain.
Two other things you should keep in mind:
- Initial set up needs to be run from inside the network it is installed on. In short, someone needs to be there in-person with a computer to set it up.
- US Slingboxes are designed to be used with US video sources, especially if you're connecting coax cable (or an antenna) and not using a cable box. Make sure you know what you're getting into, it would be no fun if you discover that the source you want to watch is not compatible with the Slingbox you buy.
One final thought...
If possible, it can be very helpful if you can remote control a computer on the same network as the Slingbox. This helps with testing and configuration adjustments to the Slingbox and router that have to be done on-site. You don't need to set this up, it's certainly not a requirement to make it work. But since the Slingbox will be far away from you, it might come in handy. I'm talking about logmein.com or something similar. Personally, I use VNC over a secure SSH tunnel, but that's a lot harder to set up compared to logmein.
Hope this helps !