Having it connected to Sky - yes you need a license if you use that to watch
broadcasts atthe same time as the public do.
But to have a DVD player only connected to a TV then you do not.
As carolg has confirmed with a phone call, I would however get it confirmed in writing so that they do not bother you as they are likely to do so if you have a TV with no license.
Analogy:
licensing authority = "dog"
house with tv & no license = "bone"