It is a small box that is you set up next to the source of the programming that you want to watch (in my case, I'm in HK / Tokyo and I have the slingbox hooked up back at my apartment in Chicago). It takes input from an audio/video source (usually cable box or DVR) and also connects to a network cable.
That is pretty much the gist of it - with a source (the connection from the dvr or cable box) and a method of transmission (the network cable), you are free to begin sending yourself a little broadcast.
In order to watch the broadcast, you have to download a slingplayer from the slingbox website (free) and it will walk you through configuration of the slingbox etc. The only other thing to note is that you also hook up some IR blasters (included with slingbox) which mimic the remote control for the source unit. With the IR blasters in place, not only can you watch whatever is showing on the TV back home, you can also control it over the internet to change the channel etc.
Basically, its magic.....