Assuming that you connected the cables correctly there are two things to check.
1. In TVs that use the same jacks for component and composite video you have to select which you want to use. If the TV is set to composite you will get a bw picture. Component video is not really red, green, blue like VGA.
2. Check the video menu of the DVD player. It may offer a choice of RGB and YPbPr. Change the setting.