If your Sky box / TV and your Broadband router are near each other you can connect them with a cable (ethernet cable).
If your Sky box / TV are in a different room from the broadband router you can buy a Sky Wireless Connector (£60) and connect your Sky box to your broadband router via wi fi.
Note that you can buy cheaper alrernatives than the Sky Wireless Connector if you dont want to pay £60 (search the web).
In fact I ordered a Sky Wireless Connector yesterday and it should be with me in a day or two.
there is a cheaper alternative that uses electric sockets in your house to transmit the signal from router to sky+ hd box
Ethernet Homeplug Adapters - available from Amazon and other sources
Very easy to set up and use and costs around £30 for two, you may need to buy some short 1m ethernet cables with some plug sets but again these can be bought cheaply