Your qustion is impossible to answer unless you tell us which connectors your Sky box and your TV accept.
If both have got HDMI sockets you'll need an HDMI cable. Failing that, if both have got Scart sockets you'll need a Scart cable.
If there's a Scart socket on your Sky box but not on your TV, then has your TV got RCA (=phono) sockets? (That's the set of three, usually colured red, white and yellow). If so, you can use a Scart-to-phono cable.
If you need further information, take a look at the back of both devices and tell us which sockets you see.