PNotar, the connectors might be colored Red/Green/Blue, but the signal sent over component connection is more tricky than that. One of the contacts, usually marked Y carries a combination of all colors - essentially a black-and-white video signal (luminance), while the other two, which are marked B-Y and R-Y (or Pb and Pr, or Cb and Cr) carry some specially colored mixtures. Your TV set then extracts the primary color components (RGB) by combining or subtracting these three component signals.
So, what do you need to do to fix your problem?
First of all, make sure that the correct components are connected. The color of the cable doesn't really matter, but it is important that, say Y output goes to Y input, etc.
Second, some DVD players (and HD receivers) may have different output settings for component outputs. If that's the case, you may want to experiment with different video output settings in the menu.
Good luck!