It could be possible if you have a DVD recorder that will take input from SCART or HDMI socket, whatever output your Sky box has. Connect the second recorder's input to the output of the Sky box, start it recording and play the programme on the Sky box. It's very tedious because the recording can only be done in real time. Few DVD recorders will accept input through an external socket nowadays - they record from the tuner and the SCART/HDMI sockets are usually output only, but you might be lucky.