Does the tv have to be connected by aerial to watch Blu-ray?

No. The aerial (antenna) has nothing to do with the viewing of Blu-Ray disks.

The Blu-Ray player would be connected to the set by an appropriate set of cables depending on your specific HD TV's available connections. Look for HDMI, DVI, or component cable connections on both the player and the TV. Use the appropriate cable and select the correct input on your TV set.