Use the ports in this order

HDMI
DVI
Component/Optical or coaxial/RCA Audio Jacks
-------------------------------------------------
You really should not get to this point.

S-video/RCA jacks
Video/RCA jacks

Start with your HD Box first.

You can buy adapter heads for HDMI/DVI


What make it the TV?
What make is the HD box?
What make is the DvD Player?

Depending on the inputs and outputs of the devices in question and how many each have will affect how you will hook things up.