Thank you for using the answers forums. Sorry to hear that you are having an issue with using the Slingbox. In order to install the Slingbox, you will need to install the plug in. It sounds like this is where you are encountering the issue. You will need to close IE to finish the setup, if it is already closed and still giving this error, you will need to enter your task manager and click on processes. There you will close anything that says iexplorer.exe and then you should be able to continue the install. If this still doesn't work, you would need to try a different browser. This article should assist you further.
The Sling Moderation Team