Translation:The dog is sad.
When i hear the word, '슬픕니다', i always remember taeyeon and tiffany's song, "lost love."
not that i know of, 슬퍼요 is just "i'm sad". this is a more polite way of saying it (somebody correct me if I'm wrong, i'm not a native!)
I think you should pronounce the word 슬프다 with an 's' sound. Usually the ㅅ character is only pronounced as a 'sh' sound when followed by an 이.
시 = shi 스 = su 서 = seo 사 = sa Etc.