It'll do that if your router doesn't have uPnP enabled. Its okay though, you can still manually configure the router without the setup wizard.
Once you've setup the Slingbox for viewing locally, its the routers responsibility to allow remote viewing. I recommend that check your router's firewall rules. You'll need to make sure that that the corresponding public UDP and TCP ports and being forwarded to your Slingbox's private IP address.
IP address and Port Number: http://support.slingbox.com/get/KB-005866.html
Port Forwarding: http://support.slingbox.com/get/KB-2000068.html
Network Setup Assistant: http://support.slingbox.com/get/network-assistant.html
Manual Changes: http://support.slingbox.com/get/KB-5000126.html