Do Sky+ boxes have a USB port on 'em? If they do, you could try putting a USB memory stick in and copying to it. Then you could transfer it to your PC and convert to VCD to watch on your dvd player/PC
Obviously all of the above will be complete tosh unless it has a USB port....Im guessing it doesn't but its worth a look......good luck
Sky+ does have a USB socket ... but don't bother trying to access it with a PC, it's disabled - only there for some Sky feature in future.
If you have no knowledge on video making on a PC, save time and frustration and buy a cheap DVD Recorder - far simpler... having had experience of both methods the DVD recorder wins every time (the computer route takes flippin ages from start to finish!)
Not too sure if wisemonkey's solution would be that easy to do. It would rely on the PC running an operating system which was able to access the file system on the Sky+box HDD, and then having the software able to access the format of video file used for the recording. Might be better trying to find a hack to eable the Sky+box's USB port.