You can use the AV (composite lead) which is yellow (video) and red/white (audio). That plugs into the WDTV via the rear AV port.
You can also use the component cable which has colored Green/Blue/Red jacks and they connect to the corresponding ports on your TV. That cable plugs into YPbPr socket on the rear of the WDTV. You also need the AV cable plugged in to get audio via the red/white jacks.
You must use the cables that came with the WDTV as other cables may not be wired in exactly the same way.
So you have plugged the lead into the YPbPr socket on the rear of the WDTV and plugged the red/green/blue jacks into the corresponding jacks on your TV. It may be that your TV does not support the output from the WDTV. Unfortunately the WDTV does not output 480i or 576i and if these are the only resolutions that your TV supports when you will not get a picture.
What TV have you got and what component resolutions does it support?
I also have a problem with my component jacks, when I plug it in using the provided cable (with my WD TV Live +), it produces a green ghostly visual. And my TV is a HD ready Panasonic plasma, supporting upto 1080. Is that the cable failure or I need to set my TV?
I have been using component cable for my DVD player just fine.