Help.. Sony Reciever (hook ups)

Knowin' the model of your receiver would be real helpful for givin' ya specifics, but here are some basics:

Red = Right Audio
White = Left Audio
Yellow = Composite Video
Barrel-and-Collar screw-on = RF (Radio Frequency, or Antenna , which combines both audio and video, though other than from broadcast television, the audio most likely will be mono only)
Barrell-like connector with a buncha tiny pins or sockets = S-Video

There is also RGB, or Component Video, but for simplicity's sake I'm gonna skip that right now.

Every output to be used must go to a corresponding input, and vice-versa

At some point, usually sooner than later, you're gonna wind up with more output sources than your receiver has inputs for.

Now ... an A/V receiver should have one or more TV outputs - easy enough; thats what you connect to the TV's inputs. If supported by every video link in your system, or if your receiver automatically converts composite to S-video, S-video is the way to go. Otherwise, or if your not sure, use composite video {yellow).

A video input section is a video input section - your receiver doesn't care if a VCR, a DVD Player, or a game console is hooked to any particular video input section. It really only matters to you - you've gotta keep track of what's where, and which buttons to push to get what you're after. Just appropriately connect the audio and video outputs from your source devices - your DVD player and game consoles - to whatever-named corresponding input sectons of your receiver, and you should be all set.

One more note: the cables that "come with" most stuff are junk. No need to go nuts, but you're gonna be far happier far longer with good, name-brand upgrade cables, which typically will have gold plated connectors, more substantial construction, including better shielding, heavier conductors, and more robust insulation, and will afford noticeably better, more reliable performance, particularly over time, as compared to the give-away kind. Stuff in the $15-$25-per-meter price range generally is gonna be capable of all the signal integrity your system can utilize. If ya wanna, you can spend hundreds-per-meter, but most equipment, and by far and away most folks, aren't gonna be able to notice, let alone appreciate or benefit from, any improvement over good, first-tier-upgrade cabling.