Sorry as far as I am aware you cant copy from the SKY+ box direct to DVD.
However what you can do for 100% is record direct from the SKY+ box direct to VHS recorder. Just plug the VHS recorder into the back of the SKY+ box (read SKY instruction manual). After you record a SKY programme the normal way, you will see an option called 'Copy' in the Sky planner menu when you highlight the specified programme. So Copy ! Note it records in real time, second for second. So if the programme last 3 hours, it will take 3 hours to record.
Next you need a piece of hardware and software that reads VHS and records to disc or hardrive on your PC.
Dont know how much they cost, where you get them from but I know they exist, just search Google.
I think for this you may have to reconnect your video player to your PC or have a second video player already set up.
Once you have used the piece of hardware to convert it onto DVD or PC (in which case you then just transfer to to a DVD) you will have done what you wanted.
Its long, tedious, and perhaps you will have to shell out some money and the quality wont be quite as good cos you already copied the programme to VHS, but ! How bad do you want thsi programme on a DVD??