Onkyo SR606 video upconversion problem.

I have an Onkyo SR606. I am attempting to connect my Time Warner Cable Box (only has Component video output)
When connecting the A/V cables to the Cable/Sat inputs on the back of the Onkyo, I get audio, but no video to the television.
I have a single HDMI connection to my tv.
I do get a (blue screen) on the tv (rather than the black screen when nothing is connected).
I have tried connecting the Component video directly to the component input of the TV and do get a video signal that way, so I know the Cable box is outputting video.
Any idea's