the white red and yellow cables are called 'Composite Connectors'
Yellow = Video
Red = Right Audio
White = Left Audio
Typically you have 2 ways to get a TV/Video signal.
1. Coax in from Cable Connection to DVD player. Then Composite out to TV. This allows your DVD player (or whatever to have seperate signals for each video/audio type and gets a better picture and sound.
Many -cheaper- TVs do not have composite connections and only have Coax. In this case you would have to:
2. Coax in from Cable Connection to DVD Player and Coax Out of DVD player to TV. You dont get as good a picture but the difference is nominal is you are not a tech head.
To hook up your PS2 or other gaming box just buy a cheap converter. This plugs directly into the back of your PS2 and has a Coax connection to your TV.
I used this for a while on an older TV and the only issue I had was when the graphics where really white (bright) I got video noise - that fuzzy audio noise when there is to much being crammed down the small Coax Cable.
It is annoying but liveable if need be.
this is the adapter for the Xbox.
http://www.radioshack.com/product.asp?c ... d=26%2D674
edit:
Or just go from your Console to your DVD/VCR and Out of that to your TV using Coax. You will still get noise but you will not need the adapter/