You actually don't install the Slingbox (server) on PC, you connect them to set-top boxes and network.
You can install the Slingplayer (client) on several types of devices. At the top of every Support webpage on this website there is a "Downloads" button that you can push. Go through the menus and you can download the Slingplayer Desktop for your PC or Mac or Slingplayer Mobile for many mobile devices. You can also connect to http://watch.slingbox.com to use Internet Explorer, Safari, or Firefox to watch your Slingbox.