The simplest way is use a Toslink optical cable to connect your Cox cable box to your Yamaha receiver. Then use your component video cable to connect your Cox cable box to your TV composite input. That's it.

Using your receiver remote, you select the audio source you plugged the optical cable into (CBL, SATTELITE, etc). Using your TV remote you select the video source you plugged the component cable into.

The Toslink optical cable is available at Radio Shack, if you don't already have one. There are other ways to do it, but I think this is the simplest.

You can automate the switching with a learning remote like an MX-700. See RemoteCental for more info.