coax has video and audio combined and is, as Train suggests, usually selected in two ways.. input number and antenna vs cable.

single rca (composite has video only and audio needs to be patched separately).. it's slightly better than coax so long as the rca patch cable isn't too long (less than 8-10 feet is ok)

Component (three rca cables is the best way and when watching a dvd or good quality signal (not a tape, see below) the difference is very noticable. (again audio needs to be patched separately)

S-video is ok too.. better than coax or composite but not quite as good as component.

Worth noting is that although regular audio/stereo rca cables will work there are higher quality video rca cables made for the video patch. They're a bit more expensive but will make some difference in quality esp if the cables are longer than 3 or 4 feet.

Also worth noting is that the vcr/dvd combo output in all machines is set up so that only the dvd can be viewed using the 3 RCA/component outputs. To view a vcr you need to use the composite or coax inputs.

That could be why you aren't seeing anything.