Do you have DSL or cable?  If you have DSL your modem may be a router too.  If so, you need to forward the port in it too or set it up in bridge mode.

On the menu issue, I assume you have an HD cable box.  Some boxes don't output the menus on the SD outputs when the HD is being used.  That's one of the problems that the HDConnect fixes.  You might be able to switch the box to SD output when slinging but you won't be able to get HD at home at the same time..

Slinging Tivo HD from a Pro HD, Tivo Series 2 with cable and DirecTV from a Pro, Tivo HD from a Solo, Humax DRT800 from a Classic to Sprint Mogul, Dell Inspiron 8600 with Sprint EVDO, and a SlingCatcher over Windstream DSL.

I had the exact same problem on my DLink DI-624 router yesterday. I finally gave up and did the online connection thing with one of their techs (Thanks Daniel!!!).

He poked around my installation and final thing that fixed it was opening up the Zyxel Prestige 660-NR modem setup. Obviousy your methods may very, but since you're using a DLink too, it may resolve it for you!

 When you log into your Zyxel modem (default URL: http://192.168.1.1/) choose the NAT option. You have three options. In my case it was set to SUA ONLY. 

Click the EDIT DETAILS option.

Here add the port you've set up the Slingbox to communicate through (5001 by default). Set the start and end ports both to the same number. You also add your IP address. This is NOT the internal IP address you've added on your network. Its the OUTGOING IP address you need to communicate with your ISP. Go to a command prompt and type IPCONFIG to get the information. 

Once you're got everything enterred in click the SAVE button, wait for anything that might say it was updating/saving info and then close the browser after its completed.

Try the test again and see if it works. It did for me!!

Robert