Hooking up a home theater system with both analog and digital devices?
I have the same receiver and hit this problem when initially setting it up as well.  

Essentially, the receiver outputs the video signal in the same format as the input, so: for HDMI inputs use the HDMI output, for component inputs use the monitor out (component) jacks, and for composite inputs use the monitor out (video) jack.  For your scenario, you'll need to have a component video connection to the TV as well to show the video from your DVD player.

This isn't made very clear in the manual, but you can find information about it on page 19 under the "Component / composite video connection" section.