You cannot use the component system on Sky+HD boxes as they don't provide the output. You have to use the Composite (red/yellow/white) outputs. I am a bit surprised you have red/yellow/white plugs on your Sky box though, mine only has a dual SCART system so I have to use a SCART/RCA adaptor. Are you sure those plugs are output and not input ? If they are outputs then simply connect the red/white/yellow plugs to the red/white/yellow plug on the Slingbox and configure the composite input.
Which model of Sky+HD box is it?
Since you've posted in the Slingbox Pro-HD forum I assume you have one of those and want to get HD from your Sky box to your Slingbox?
On the newer Sky boxes there is only an HDMI out (i.e. there is no component out), in which case you'll need to buy an adaptor like the HD Fury which will convert the HDMI to the component in on your Slingbox. This will give you an HD signal.
If it's an older Sky+ HD box then you should be able to just connect the component out of the Sky box to the component in of the Slingbox.