The Sony also lacks the built-in IRemitters of the Revue -- there's a wired two-headed IR blaster, but after using the Revue's built-in emitters we much prefer them to stringing IR blaster cables.
In brief, the physical installation simply involved plugging the AV cables (included) into the SlingBox and our set-top box (a Philips Freeview box, to be precise), then taping a couple of IRemitters onto the front of our set-top box, and finally hooking the SlingBox up to our router (via a couple of SlingLink ethernet wall-plug bridges as our router was too far away).