The instructions that came with the tvLINK weren't that helpful, so when I plugged it in and it didn't work, I was on my own!
First thing you need to do on your Sky box (in my case, a Sky+ HD box) is to set up the 9V power from the 2nd RF output. (From memory) To do this:
Press Services on the Sky remote
On the old menu, type: 4, 0, 1 and press Select | On the new menu, type 0, 0, 1 and press Select
Go to the RF settings, and turn on RF power
The next problem I ran into is that I have many TVs running through an aerial booster/splitter, mine isn't designed to let the tvLINK signal back to the box. So I had to run the splitter from RF1, and the tvLINK (and the TV it's connected to) to RF2.
With this configuration, the tvLINK works perfectly, and I highly recommend it for anyone who wouldn't benefit from Sky's multi-room package!