I don't think it matters in what sequence you attach router to incoming cable and computer, but you do need to do is to set up the router. Sky should have given you all the settings for this and the Netgear router should also have come with a set up disk. Run this and follow the instructions.
Access to the Netgear routers is usually 192.168.0.1. Defaults for the router are admin and password then you should go to Basic Settings page where you can enter your adsl details of login and password given to you by Sky.
I would like to know for sure the correct procedure. I don't know whether to uninstall Sky Broadband or just switch routers. I do have my Sky Login name and password. I have made a note too of the I.P. address because I don't want to be wireless-preset.