I agree with Stewart...keep you gaming systems etc. out of your HT setup. But basically you will be faced with: Receiver, DVD player, Speakers.
In a nutshell:
1. As suggested, you need a HT receiver. This will allow you to hook up your four corner speakers AND hook up a sub-woofer. It will also allow you to take the proper audio from a NEW DVD player and use it correctly. Most new DVD players have a single "optical" audio cable that allows the best audio to go from the DVD player to the HT receiver. You may find that your HT receiver is simply used to process the audio from your DVDs, but that's the most important issue. Once you get more advanced, you may find that you can actually use your HT receiver to switch video too, but at first, keep it simple. For what it's worth, my experience has led me away from Sony receivers. Yamaha and Denon seem to make much better receivers. Sony cameras are good, but their affordable recivers are junk. Don't get suckered into buying an all-in-one unit (receiver/DVD player). Often they compromise the audio/video performance for convenience.
2. Get a new DVD player. If you aren't a videophile yet, I suggest getting a cheap Panasonic brand that has DTS and that has "component" video connections. Panasonic has one of the better video chips, especially on the cheap models. By the way, a new DVD player will play your audio CDs as well as self-burned CDs and DVDs.
3. Hook the new DVD player directly to your TV. Your Sony WEGA probably has "component" video-in connections (3 separate cables instead of one). If your TV only has RCA type video plugs and S-Video plugs, use the S-Video.
4. Setup your DVD player properly through the menus. DVD players have the ability to show video in 4X3 (your TV picture size), or 16X9. I personally like my DVD player set to 16X9 so it shows the entire picture, but the drawback is that you get black on the top and bottom of the screen. 4X3 fills your square TV, but you will lose some picture. You may find as you get into this HT stuff that you aren't happy with a square TV and you will want a 16X9 (Widescreen) TV. This is the way movies are meant to be watched, so learn to love it.
5. Of course, you will need speakers. This is typically a very difficult decision, because speakers are so subjective. DO NOT get suckered into buying the BOSE speakers or their entire package (receiver/DVD player/speakers). My father and sister-in-law both have these and they stink. Visit www.hometheaterspot.com. Lots of discussion on HT there. I would say that since you are new to this, most any speaker will sound great, but my ears have turned me away from any JBL speaker that's affordable. Also, stay away from speakers made by companies that also make cameras, toasters, TVs, etc. Infinity, Boston, Axiom, Energy, B&K are some examples of really good speakers. By the way, you don't need gigantic monolithic speakers to get good sound. A good sub-woofer will be an essential part of quality sound. Try to place your speakers somewhere around ear level if you can.
The most important thing you can do at this time is to do some research. Scan the websites that discuss HT. Visit the electronics stores, but don't impulse buy. Read magazines. Learn a little bit now and your HT experience will be a rewarding one.