It depends on what you mean by connect the sling player to your laptop. There are two scenarios I can think of.

1. Your slingbox is local to your house, And you want to connect to the slingbox from another room. If this is the case, you should make a wifi network with a router, even though you are not routing any internet traffic through that wifi router. It will give everything local addresses and make it possible to see the slingbox. Your slingbox will not be available outside of your home though.

2. Your slingbox is outside of your home. You should be able to just plugin the SlingID to your slingbox into the player software and everything should work.

Hmm. You choose option #3. And that is going to be a lot more difficult or expensive. To do that, my best guess would be to install router software on your laptop and have that become a router. Very difficult and complicated. Another option that will require you to buy some hardware but will simpler and better. That would be to get a mobile router. There are some that will turn a USB, PCMCIA, or ExpressCard mobile modem into a wireless router or access point. It will set you back quite a bit, but you'll be able to share your Internet connection.