Hi [lots of numbers],
I had a similar problem with a T-Mobile Dash (HTC Excalibur S620) running WinMo 6 and the v1.6 non-touch Player.
For some reason, the Player didn't like starting up a mobile data connection on it's own which resulted in the error message you're getting.
If I opened a web page on the phone to kickstart the connection then switched over and tried to watch my Slingbox, it worked.
This only happened if I needed to use mobile data. If wifi was available (inside or outside my home network), everything worked fine. It was a hokey workaround, but that's as much effort as I was willing to devote towards troubleshooting the thing.