It seems that you are having some issues with the Slingbox and the attached DVR, since you are not able to control its features.
Most of the times, this issue is related to the usage of the HDMI cable. With this in mind, I recommend you to remove the HDMI cable and test how the Slingbox works. The following links will provide you with further details and a possible workaround:
As a second option, you can try to downgrade the DVR's resolution. If you are using the Composite (yellow) cable or the S-Video cable, they will not be able to stream the HD signal, therefore, the DVR will show you the pop-up message.