Sorry that I don't know how to change the port, but the Slingplayer should automatically establish a "Relay" connection, as long as both ends can open outbound HTTP / HTTPS. If that's not working, the firewall may be imposing restrictions other than just blocking ports.
If Relay does work but the performance is poor:
Many routers can forward an external port to a different internal port. For example, forward external TCP port 443 to your Slingbox port 5201. 443 is used for HTTPS and likely open from work. Then, using the desktop player (from another location), add an entry to your Slingbox directory that specifies the public IP address or dynamic DNS name of the Slingbox and port 443. You should now be able to connect from work to that "new" Slingbox.
Thanks for posting in the forums! That's a great question. There is not a way, that I know of, to change the port that the Slingbox is using. It does this automatically.
You could try setting up a proxy, as the issue is most likely not related to the port the Slingbox is using.
Below is a link to an article that explains how to do so:
Hope this helps!
The Sling Moderation Team