Here is my set-up:
I have a K-World USB 310U stick plugged into the PC. The Sky box is plugged into this and I can watch Sky on the PC.
There are a number of alternatives to the K-World stick, but it's important to remember one thing.
The Sky output (RF Out) is analogue, so if you buy a device, make sure that it is analogue compatible. A digital stick/card will not work in this kind of setup.