The PB12-NSD is a pretty easy sub to set up since it doesn't have a ton of control options.
Just set the "phase" knob to "zero degrees", set the "cross-over" knob to its highest possible setting, and start with the volume knob at about half way.
After you run Audyssey, go back into the settings and manually make sure that your speakers are all set to "small" with an 80Hz cross-over frequency and that the subwoofer is set to "on". You might notice that Audyssey set the distance for your subwoofer to something other than its real, physical distance from your seat. That's ok. Leave it alone. The "distance" setting is just another way of adjusting the "phase". If you were to turn the "phase" knob on the subwoofer itself to some other position and run Audyssey again, you'd find that Audyssey would select a new "distance" - likely one that does not match the actual, physical distance again. All the "phase" and "distance" do is try to adjust things so that sounds from your subwoofer arrive at the seat at the same time as sounds from the speakers. So just leave your subwoofer's knob at zero degrees and let Audyssey adjust using its "distance" setting since it usually does a pretty good job with that
The cross-over is being handled by the receiver, so that is why you put the subwoofer's cross-over knob to its highest setting. Basically, you're just getting the subwoofer's own filter "out of the way" and letting the receiver handle the cross-over, which is the way it's meant to work with modern receivers.
When your receiver's Audyssey program adjusts the "trim" levels - the individual volume settings for each speaker and your subwoofer - you want it to end up with something in the range of -3dB to 0dB. If you've run Audyssey and see that the trim level setting for your subwoofer is outside of this range, you'll want to adjust the volume knob on the subwoofer itself and run Audyssey again. For example, if Audyssey has set the subwoofer's trim level to "+5dB", it means the sub is too quiet and you should turn the volume dial on the sub itself up by a couple of steps. If the Audyssey trim level for the sub is at -7dB or something, then it means your subwoofer is too loud and you should turn the volume dial on your sub down a couple of steps.
You want that trim level in the -3dB to 0dB range so that the signal coming from the subwoofer is strong, but not artificially boosted. If the signal has been trimmed to below -3dB, there's a good chance it won't be strong enough to make your subwoofer turn on automatically if you use the "auto" power setting on the sub. And if the trim level is above 0dB, it's sending a signal that is higher than reference level, so you can sometimes lose a bit of headroom in the bass that way.
As for the THX DVD or Blu-ray, just look on the cover. If you see a THX logo on the front or the back cover, then it is a THX Certified disc. When you go into the main menu, you should be able to find the THX Optimizer. You might have to dig a little bit - it's sometimes burried in the "Settings" menu or positioned off to the side. But once you find the THX Optimizer, go ahead and run through that. There is a Video setup portion and an Audio setup portion. The last test in the Audio portion is the 200Hz to 20Hz sweep