To be fair, Sky is only relaying an AFP wire report.
Which incidently, AFP still ran with under three hours ago:
Officials mourn Iraqi leader's death, four arrested over beheading
http://story.news.yahoo.com/news?tmpl=story&u=/afp/20040518/wl_mideast_afp/iraq_worldwrap&cid=1514&ncid=1473
The source told AFP four people were held over Berg's grisly murder in a possible breakthrough in the US-led battle against extremists who have been trying to derail efforts to transfer sovereignty back to Iraqis on June 30.
"We have made good progress," the source added, referring to the investigation, but declined to give any further details on the identity of the four people held in detention.
It was understood that none of the four included al-Qaeda linked Jordanian extremist Abu Mussab al-Zarqawi, who US authorities believe carried out the killing of the 26-year-old Berg along with bombings in Iraq.
But Brigadier General Mark Kimmitt, deputy director of operations, said: "We have no information from the coalition that any arrests were made today."
I just did a quick google search and nothing more than whats on your link. Hopefuly more tomorrow.