I'm running into Shib problems when I try to setup Box Sync. I don't even get to enter in my password.
Your privacy setting might be too high.
In Control Panel > Internet Properties > Security > Trusted sites > Sites
shibboleth.illinois.edu, *.box.com and *.box.net
More specific firewall settings can be found here: http://community.box.com/t5/Account-Information/Configuring-A-Firewall-For-Box-Or-Box-Sync/ta-p/12