@Switchblade, you have answered your own question. You need the cable box to watch TV, and which channel you watch is controlled by the 'box.
Some DVRs have also over-the-air TV tuner(s), and if you are connected over single "RF" cable, yours is probably the same (recording on channel 3, probably).
So, your DVR (being "dumb" device) can record only what it being passed by, in your case - the cable box. Some DVRs have the function to record a show while playing already recorded show.
One more point: If you connect everything with single coaxial cable, you're losing a lot of picture and sound quality. You shoud use highest quality connection (HDMI, component, S-Video, in that order) available between the components.