As already mentioned, you need two cables for sky plus, which means you'll need an engineer round to install it for you.
Check the Sky website (sky.com) as they have offers on upgrading your box, which may work out free for you, depending on what box you have at the moment.
If you have a standard Sky box now, you can get the sky plus box for free, with an installation cost of £60. If you get the Sky plus HD box, then you also get it for free, and installation is free too. The only thing you have with that, is it's £10.25 per month extra, for the HD package... but I guess you could cancel that after they've fit the box.