Which model of H/K do you have? Also, does your TV have multiple video inputs (eg Video 1, Video 2, Video 3, etc.)?
Because my TV has only one input aside from coax(ie cable/antenna), I run everything through my H/K. I have the VCR and DVD video hooked up via s-video, then s-video to the TV. My H/K (a 525) requires that all video sources be of the same type in order to output them over one video connection.
In terms of audio, you should not be running any audio through the television. You should have audio out on the TV, which would be a pair of L/R RCA analog audio jacks. These would go to the receiver on one of the video inputs (probably video 2). Your VCR probably has the same; hook those up to video 1. I give you this order because that is how they are sub-labeled on the remote-easier to remember that way!
The DVD player is a different matter; that will have digital outputs for the audio manifesting in one of two (or both) ways: optical digital out, or coaxial digital out, which is yet another RCA jack. You can use a standard single RCA cable for that, which is what I do. If you prefer to use optical digital (aka Toslink), or if that's all your DVD player has, go ahead and use that--it doesn't really matter which you use. That should go into one of the digital inputs on the H/K. I believe the Digital Input 1 is automatically assigned to the DVD channel in the H/Ks, but you may have to enter the menu system to verify/assign this.
Hope this was somewhat helpful, feel free to post back if I'm completely unintelligible.
