I had better luck with the manual setup (non uPnP) and the use of port 443 to get my Slingbox running from work which had a restrictive firewall in place.

 In the manual setup, the wizard will assign the Slingbox an IP address of 192.168.1.237 (you can replace this by default) and  a port of 5001 (I replaced this with 443). I then forwarded this IP and Port in the router.

 In the connect properties of the player, I selected connect directly to the WAN IP address and port 443 as opposed to using the Finder. The WAN IP address is the address of your router from the internet... not the 192.168.1.1 on the LAN. Usually this WAN IP address can be seen in the Router's Status Page. I have a relatively static WAN address because I use a cable modem.