If your player has HDMI output, that's the best to use. One cable for video and audio. The others, (S-Video), etc. are kinda old school. If your TV doesn't have HDMI input, a new one that does would be a great upgrade. HDMI cables are cheap or come with the unit. Flat panels give an amazing picture, even with older DVD's. Again, you don't have to spend a lot...the 1080P HD models will give you a great picture.
Just select the HDMI input on your TV and you're all set. Again, you don't need the latest and greatest. Most flat panels work great. They all have really good pictures.
If you want to stay with what you have, you'll have to match output and input types and connect the cables accordingly. Separate video and audio. Component means the Red, White and Yellow connectors. S-video was setup for older VCR's (they may produce distorted images depending on DVD formats). AV I'm not sure of. Just have to match connector types.