You seem to be a bit confused. There are 2 ways to setup/view the Slingbox (forget the CD, this is 2012 ).
The first is the standalone player (http://support.slingbox.com/go/windows-download-desktop-us or http://support.slingbox.com/go/dl-mac-desktop), and that will give you an icon on your desktop.
The second is via the browser window at http://watch.slingbox.com, which you seem to have found already. When your local Slingbox shows up you simply select it and follow the instructions. Not sure why you stopped at that point.
So both systems work identically, it's a matter of personal preference which you use.