Unfortunately I haven't found any details about the stream Sling Media uses.

Of course you may use the Screen capture software to record any screen activity, but I don't really like the idea of recording on a remote computer.

I suggest you to visit slingcommunity.com and ask other users.

And I also suggest you to keep bugging Sling Media so that they include the recording feature to the SlingBox

p.s. For those of you who know nothing about the SlingBox, it will be interesting to read the following article: Slingbox Lets Viewer Watch TV on the Go.
You may also wanna visit the SlingBox section of Sling Media web-site.