How are the jacks labeled?
Composite video requires one analog cable but the quality is not all that great.
Component video uses three analog cables. Use video cables. Audio cables or audio/video cable sets may give unpredictable results.
For most DVD players, connecting to a VGA input requires a transcoder, you can think of it as a cable but with a box in the middle. In addition, standard interlaced DVD players need an external de-interlacer, many of the popular models include the necessary transcoding and can feed a projector's VGA jack directly. An iScan Pro will make a superb picture from the cheapest DVD players and also allows you to feed in the VCR and ordinary broadcasts with excellent results.
Video hints:
http://members.aol.com/ajaynejr/video.htm