The reason you're not able to connect with 'direct connection' is because you did not do the initial setup of the Slingbox.  You MUST have the Slingbox on the same network (i.e. the same DHCP enabled router) as the computer in order to do the initial setup, including the network setup.

Make sure your computer and the Slingbox are both connected directly with the router.  Check to see that both lights on the right hand side of the Slingbox are on and NOT blinking.  Disable your firewalls, especially the Windows Firewall, Norton Internet Security / Worm Protection, Trend Micro, etc.

You should see the Slingbox as 'LAN Available' in the Slingbox directory (if it doesn't come up when you launch Slingplayer, open it under 'view' or 'slingbox' at the top of the screen.  If not, do a factory reset of the Slingbox by holding the reset button on the back of the Slingbox for fifteen seconds.

     Happy slinging!

RTFM!