Yellow means video. Red and white are two channels of audio. On a home theater according to your brand there could be more colors. Plug the correct color in the matching hole.
The cables on electronics are color coded for ease of setting up. The yellow cable goes from the video output to the video input. For example from DVR to TV. The white and red cables are for your Left and Right audio, respectively. They also go from output to input.
If there are three, yellow=video, red and white=sound. If there are five, blue, green and purple=video, and red and white still carry sound. Those are composite and component, respectively.
Red and white are audio wires. The white is usually the left hand stereo wire, while the red is the right hand stereo wire. Yellow is the video wire. Make sure you are connecting the white wire to the white outlet, the yellow to yellow, etc. You can connect a TV to a DVD player or VCR using these wires.
They are colored so you can tell which output on your DVR goes to which output on your TV. The colors of the cables don't matter, as long as you make sure you plug each cable into the same color outlet on both devices.