from what you've said it sounds like you have your DVR connected to your DVD player only by coax. if this is the case than needless to say this is the only connection your DVD can record from.

if i understand your system i would set it up as follows.

-Coax cable from wall to cable box.
-S-video from Cable box to DVD recorder.
-Anolog audio (red/white) from cable box to DVD-recorder
-S-video from DVD Recorder to TV.
-Anolog audio (red/white) from DVD recorder to TV
-Digital Audio (optical or coax-this is an audio coax cable-not the same as the coax cable coming from your wall) from DVD Recorder to Reciever.
-i would also run an Anolog audio cable (red/white) from the TV to your reciever, that way you can play ANY audio from the TV via your reciever if you want.

all the best! Christian