Your almost there!
Use component (red,green,blue) if you have component inputs on your TV, If you dont just use S-video.

Go buy a coaxial digital cable, (use a RCA temporarliy,if you have to) It does not have to be orange, in fact I dont think I've ever seen an orange one, yellow, purple,green yes.
Leave youR analog (red,white) hooked up, you may even hooke them to your CD input.

The video and audio are two different things,
as larry said you will get a picture from composite (Yellow), S- video, or component (red,greem,blue)
the picture will be best from component.

You will ge audio from analog (red-white) but it will only be stereo,prologic.
Digital coxial (orange) will give you DTS, Dolby Digital and Prologic.
You may need to go into the menu settings of the DVD player (not a DVD movie menu) to set the Dolby digital settings to on. You will only have to do this once.

On some DVD movies you may need to go to "set UP" or "Audio Setup" to select Dolby Digital, or DTS.
On Top Gun. if you just press play the default is "Pro Logic".

Now go hear what you've been missing!
You can use one of your component cables for coxial digital to the reciever (use the other two for analog out, so your not wasting them)
CB1