Thanks for using our answers forum! I'm sorry that you are having trouble setting up your Slingbox 500 thorugh the OnScreen Setup. You must connect component cables to your Slingbox if you want to use Wi-Fi on your Slingbox. If you only want to connect using composite, you must hardwire the Slingbox to your router. Is your TV HD?
Here are a couple of links from our support site with some additional information which should assist you with the issue you are describing here:
Hope this helps!
The Sling Moderation Team