Thanks for reaching out to us in the land of the Forums. This is a great question, and we are happy to help! This actually is quite simple, lets see if we can show you how to do it.
When you have the actual website open, and you are watching your Slingbox on your computer, look at the very top of the address bar. You will see a Slingbox icon. All you need to do is simply drag and drop that directly onto your desktop.
Here is a screen shot of exactly what you will dragging.
Hope this helps!
The Slingbox Moderation Team