Thank you for using our online answers forum. The answer to your question is yes, we would need an Internet connection to do the setup on the Slingbox. Are you going to be using the Slingbox remotely or just inside your home network? The reason I ask is because you would have to have an Internet connection to stream the Slingbox. I have provided a few links below that will hopefully any questions or concerns you might have.
Let me know if these help!
Feel free to reply back with any other questions or concerns you might have!
The Sling Moderation Team