So, the question is to find all connected subgroups of $SL(2,\mathbb{R})$. I understand, how to find all closed connected subgroups: they are in one-to-one correspondence with Lie subalgebras of $\mathfrak{sl}(2,\mathbb{R})$. Up to conjugation, they are: orthogonal, diagonal, upper triangular and upper unitriangular matrices. I also know, how to find all path-connected subgroups: the list is the same as in the case of closed subgroups. But I don't know, whether or not it exhausts all connected subgroups.
EDIT: To clarify, the question can be formulated, as whether it is true, that for subgroups of $SL(2,\mathbb{R})$ connectedness and path-connectedness is the same property.