Your DVD player probably only has OUTPUT connections, which are connected to INPUT connections on your TV. These connections will be the same for your VCR, however, the VCR will also have INPUT connections which will be connected to OUTPUT connections on the TV if you want to use the VCR record function.
There are other connection scenarios, but this is the simplest, allowing you to use the cable box as your channel tuner and allowing you to tape the same program you are viewing (make sure the VCR is tuned to channel 3 or 4, the same as the TV).