I did a google search on Sky+, and the first returned hit was a cable company in the UK, so I will assume you want to watch cable on your computer monitor...
Anyways, if the cable box supports DVI or VGA out, you could hook it directly to the monitor that way. Your other option would be to get a video card or TV tuner that has a coax input on it, and just split the coax cable coming off of the cable box, 1 cable to TV, the other to the computer. You will be able to watch tv (and record shows, depending on the product you get) on your computer monitor. Your computer will obviously have to be on for you to watch TV on it.
Here is an example of such a card.. Hauppauge WinTV-PVR-150
. If you are going to want to record shows on your computer, I would suggest getting a card with a HARDWARE MPEG encoder on it. That way, when you record a show, the CPU will only be at 2-3% utilization, and you can still do other things on the computer while the show is recording, without worrying about the quality of the recording.
Hope that helps