Hmm... unless you're using a business class router on your network, you shouldn't have to change anything on your firewall. This is because the standard NAT translation on the typical SOHO router would be able to allow traffic if the connection orginates within your private network. So, I'm going to assume you have a more advance totalitarian firewall which is set to allow nothing in unless specified.
The actual streaming and control facilitated between the Slingbox and the Slingplayer is handled through either the UDP or TCP service port typically 5001 since that's the default. The Slingplayer will also connect to these URLs and port numbers for various reasons.
- analytics.sling.com (Analytic Server)
- autoupdate.sling.com (Update Server)
- ms.sling.com (Management Server)
- services.sling.com (Sling Accounts, also functions as a DDNS for Slingboxes)
- sparcs.slingmedia.com (Sling Products Authentication and Registration Control System)
- secure.sling.com (no clue)
- relay.sling.com (no clue)
- msg.sling.com (Slingnet)
I haven't taken the time to descriminate which ports are associated to which service, but here they all are.
You can grab the same information from the Slingplayer's