I don't have Sky+. Though i would think you need some kind of capture card in your PC. This would need to have a connection compatible with the out put from the Sky box... USB maybe?
Then, i'm sure you may need some software to enable capture of the video and audio files.
Something to consider is the time it will take to record your video. If you have two or three hours of film on the Sky box, then that is how long it is going to take to transfer to your PC, plus the learning curve for the capturing and burning software.
Personally I would buy a DVD Recorder/Player. You can get them for less than £100 and save your self some hassle. :-)
The DVD of the concert is available for about £20. But there again there's no 'challenge' in that is there? Best of luck.
I would be interested to know how you get on, keep us posted.