Hi.
Setup - Try connecting the Sky+ lead to your DVD in (same as the TV would have). The DVD out cable then goes to your TV. This will allow you to watch sky, DVD onto the TV (being the last in sequance).
Select correct channel - Change the DVD reception to Ext1 (where the sky+ cable goes into the DVD). You will also have this option for recording camcorder titled Cam1 etc.
To record - Press play on the sky box, then record on DVD. DO NOT stop the sky playing while you record. This will cause loss of signel and you will void the disk being recorded to. When the programme has finished, stop the DVD first, let it finish writing and only then backup on the sky box.
Best of luck.
Andy