You need an AV receiver capable of handling HD audio formats - they start from about £400 at the moment - and a set of speakers.
But only the Blu-ray player will deliver HD audio: the TV will only output standard stereo audio, either via a digital output if it has one or conventional analogue outputs.
And the Sky HD box will only output stereo via HDMI - to get Dolby Digital 5.1 (which isn't HD, but as good as Sky can do) you will need an optical digital connection from the Sky box to the receiver.