On the tiny male end of the cable there will be a small rubber cover. Its hard to tell its even there and its sometimes hard to pull off (I use my fingernails). Then, you'll pull out the plug from the female port on the DVD player.
Be sure to keep both the plug and cover in case you need to put them back (you don't want dust or smudges on the ends or ports).
You'll have to orient the plug to the port based on its shape. Then, just push it in. Oddly, it probably will not feel all that secure (i.e. it will pull out easily if you are't careful so don't tug on it too much afterwards), at least not as secure as a RCA or Coax type plug.
