I just bought the Sony DAV-DZ230 from Curry's to replace my ailing DAVS500.
I had the usual panic trying to get the remote codes sorted out so that I can use the sky+ remote control to control the the volume directly on the AV unit and this how it's done.
Turn the AV unit on.
Press the TV button on the sky remote.
Press and hold the Select button and zero at the same time until the red led blinks twice.
press 0000 to enter the code (this is a Sony code for the sky+ remote)
Press the < (left navigation button on the sky remote), this should turn the AV unit off. The up and down arrows show control the volume too.
At this point it's OK but not great since for it to work you have to keep switching between the SKY mode and TV mode. Not good when you are playing back sky+ recorded programs since it stops the playback and put it's back it live mode.
So to tell the remote to use this code for volume control while in SKY mode do the following.
Press the TV button
Press and Hold Select + 1 together until the red Led flashes twice.
Press the Sky button and test the volume control, it should now control the DAV-DZ230 volume!
Note: I have a rev.6 Sky remote control.