The Slingbox defaults to port 5001 for the video stream, control, and configuration. You can change the port number though the setup. And sometimes its required to sneak viewing in a corporate enviroment or if you have multiple Slingboxes.
It also uses other ports for maintenance and registration of the Sling Locator Service. Those port numbers are 5678, 80, 443, 8080, 3490, 3074, or 3724. However, since those originate from within your network, you don't need to set up port forwarding rules. Network Address Translation (NAT) keeps track of the sessions that originate from within your network. So, unless you're behind a Corporate Firewall, you don't need to open additional ports.
As far as your issue, my question is "do you have port 5001 properly forwarded to your Slingbox?" Just because you don't have it blocked doesn't mean its going to the correct host. You'll need to set up a port forwarding rule to direct public anonymous requests of port 5001 to your Slingbox's IP address.
You can check this web page for your router and it'll give you instructions on how to setup your router to forward the respective port.
Another test is to connect to http://www.canyouseeme.org/ from a computer that's on the same network as the Slingbox. You can then input the respective port number and their server will try to back track over that port to test if it can connect to something.
More basic questions, is the adjustment of the port numbers what creates the firewall?
I called SB support in an attempt to configure my PRO box to my Linksys WRT110
and was told they could not help me that I needed to call Linksys to 'change my firewall'.
Is this correct information?
By the way, both red lights on my PRO box are on steady but I am not
getting any audio or video on my Windows desktop machine.
I can't say for certain based on the info provided, but this could be a port forwarding issue.
This page has a video that walks through this set up: What's port forwardng/port mapping?
Hope this helps,