And ... I think I've answered my own question, quickly after posting this.
The problem seems to be with ESET NOD32 Antivirus. The software has a protocol filtering feature which is blocking the stream. You have to exclude SlingPlayer from the protocol filtering.
To do this:
1. Right click on the NOD32 Icon in the system tray.
2. Click "Advanced Setup"
3. Drop down "Web and email"
4. Drop down "Protocol filtering"
5. Click "Excluded applications"
6. SlingPlayer.exe should be listed. Click the checkbox beside it.