Are you also running the video feed for cable through the AVR? That 5 prong cable is called component cable. Anyway some AVRs only convert same cabling,HDMI in (from whatever)to HDMI out(monitor/tv). Component to component. Some will upconvert it from s-video,rg,rca, to component or HDMI. Now you don't say it shows a the feed but just all blue or it shows just a plain blue screen. If it's showing what you want to watch, ie; Discovery,TLC,SpikeTv and it's blue,sounds like you hooked it up wrong and it's only getting the blue input. Or it could be you need to change the input on the Tv itself. I need to do that with our DVD player,except ours comes up green,so on our DVD remote there is a button called v-mode that I have to cycle through to fix it. But that's only after my wife and friends have used the Karaoke mode on it. Other than then there is no problem.
Do you have HD cable? If not you're using the wrong cables and need to use just the regular yellow RCA jack for video and red/white for audio. If you have HD you do have it connected by color code right? Red to red, blue to blue,green to green? If nothing else I had to give you somethings to look at.