For Sky+ its a double co-ax.
Get yourself down to Maplin and they will sort you with all the cable and sockets you need.
Twin cable -
http://www.maplin.co.uk/Module.aspx?ModuleNo=219139
You will need 4 x F-connectors
http://www.maplin.co.uk/Module.aspx?ModuleNo=10447
And 2 x F connector socket to socket
http://www.maplin.co.uk/Module.aspx?ModuleNo=1638