You'd only see that screen if your router isn't uPnP enabled.
Prior to that you would have seen a loading screen with a series of circles in a circle.
Its actually attempting connect setup your router via uPnP, if it times out you then see the screen that you linked.
When you click on the check mark, the next button will be available.
Then a window will popup which allow you to select your router's manufacturer and model number.
If its available, then you'll have a web page with instructions that is hopefully current and will walk you through the configuration process.
Then the next screen in the wizard will give you network information about your slingbox, so help you know which numbers to plug in manually.
I know its a little misleading, but the idea is that if you don't know the user name and password then it assumes you're not the network administrator. uPnP configuration is the closest thing to a standard configuration interface across the hundreds of residential routers. So, if it fails that, the wizard won't actually know how to connect to whatever your router might me (Telnet, SSH, or HHTP). It also doesn't know how to transvers the prompts you might have to go through to get it setup. This is why they're trying find a web page with instructions on how to do it.
Oh, wow. I just turned off uPnP on my router to try and duplicate your issue.
Looks like D-Link has been busy in automation scripts.
I believe if you're missing that element, you can try fixing it by uninstall and delete your copy of Slingplayer app and install a fresh new copy from http://support.slingbox.com/go/windows-download-desktop-us and also make sure your copy of flash is current.
However, you actually don't need Setup Assistant to configure Internet Access. You can get the instructions from http://portforward.com
Prior going to the website, you'll need the Slingbox's (ID) MAC Address; (LAN) IP address, IP Subnet Mask, Gateway IP and Port
There's two ways to get this information...
From Slingplayer's Command Bar | Help | About Slingbox <model> (Alt +E) | Information Tab then wait for the information to fill.
From the Setup Assistant | Setup Internet Viewing | If your an advanced user and would like to configure your router manually, click here | Manually configure Network Settings
1. You can get the instructions from http://portforward.com
2. Click on your router's Manufacturer / Model
3. Click on "Skip Ad in upper right-hand corner
4. Click on Slingbox
5. Skip down steps about configuring the Slingbox to the point where you login to your router.
6. Follow the Instruction