Slenderman is an Internet Hoax started on the Something Awful forums in 2007(?). He was part of a Scary Monster contest, and actually won.
As such, there is nothing to worry about. He's a Video Game Character with such a fan-base that loves to scare people, or make them paranoid. I used to believe in him, but I grew out of it so easily I laugh at him now.
If you believe, fine, go ahead and get paranoid worrying about him, but in reality, nothing on the Physical plane like him exists.