The "HD" component cables that you bought should have the following:
Green, Blue and Red for Video (in place of the yellow video cable that comes with the wii)
Red and White for Audio
Green = Luma (or brightness)
Blue and Red = Chroma (color)
Red audio = right channel
White = left channel.
There should be no yellow cable. Ensure that you have a component video input, labeled usually by a box as component video in and each connector labeled as Y, Pb/Cb, and Pr/Cr.