If you buy a box through the official Sky distribution channel you will have to pay an installation charge. The fitter took about 25 minutes to swap my Sky+ for Sky+ HD because he took time to check the whole installation.
If you buy a Sky+ HD box through another route then you will be able to connect yourself. You will need to call Sky and pair the Sky card with your box and make sure they know you want to subscribe to HD.
You can currently buy the Sky+ HD PVR from Sky for £150 plus installation. That's a very good price and may total less than you can source it for elsewhere. And of course through Sky you get their on-site warranty.