When you connect to your Slingbox for the first time, the SlingPlayer needs to run the Slingbox Setup Assistant to configure your Slingbox and your home network. When the SlingPlayer for Mac OS X is installed on your Mac, it installs the SlingPlayer application and the Slingbox Setup Assistant in the Applications folder on your computer.
If you move these applications to another folder, the SlingPlayer will not be able to find the Slingbox Setup Assistant and when you click on the option to set up your Slingbox, nothing will happen.
To resolve the issue, all you need to do is quit SlingPlayer and move the SlingPlayer and the Slingbox Setup Assistant applications back into the main Applications folder on your Mac. Once they are there, you can open SlingPlayer and setup your Slingbox. And be sure to update to the latest version of the Slingplayer for Mac OS X software. You can get it from http://downloads.slingmedia.com.
