When you record stuff on your Sky+ box, it records the data stream from the dish; it doesn't record the tv program as a movie or video file - it records the raw encoded data, and only decodes this when you play back the recording... This means that to watch anything you have stored on your box, you'll need to have the box connected to the dish. It needs this connection to enable the 'decode' function to work when playing back the recordings. You'll also need you Sky card in the box.
When you have the new SkyHD box installed, they'll take your card out of the Sky+ box and pair it to the HD box. By doing this, it'll no longer work in the + box... (unless you get Sky to re-pair it). So, unfortunately, you can't easily just swap the Sky+ box back to watch your recordings on it after the Sky bloke's set up the HD box.
Short story - Sky were right. The only way to watch what you've got stored is to copy it all over to a HDDVD recorder while the box is still connected to the dish and your account card is still paired to that box.
