Its been a while since I've used a Mac, but if you are using your named user account it may not have the proper filesystem priveldges to over right the ownership of the current file / foler where the slingbox app has been installed. You might have to su - root in order to run the installer with the appropriate priveledges to over write the current files.
Using Disk Utility to repair permissions can often fix that problem.
If you're not sure how to get to Disk Utility, from the Finder go here:
Go menu > Utilities > Disk Utility
...or, use Spotlight on Mac OS X 10.4 or higher:
In the Disk Utility, select your hard disk on the left, then click Repair Disk Permissions:
This operation can take some time.
Try that, see if it helps.