Lots of options, but I would probably do:
1. coax from wall -> 3 or 4 way splitter
2. splitter -> coax RF inputs on cable box, TV, DVD recorder.
3. cable box HDMI out -> HDMI in on the TV
4. cable box red/white/s-video -> "input" on the DVD recorder.
5. DVD HDMI out -> HDMI in on the TV.
Monoprice.com is a good source for cables.
However, especially if you can still return the DVD recorder, I would strongly recommend instead a setup involving an HD-DVR of some type, either a TivoHD, or the DVR rented by your cable company. This would allow you to record up to two shows in high-def at one time, letting you watch either, or a third previously recorded show. This plus the ease of recording is 100x better than your current setup, which can record in standard-definition only, only one show at a time, and has way lower capacity per disc.
