I'm glad you found a solution, however you should have been able to see the menu with the HDMI connection too (your TV should accept 480 resolution input). When I first purchased my 3806, I had an old Sony DVD player connected to it with component cables, then the 3806 connected to my Sony 60" LCD rear projection through an HDMI cable. I never had any trouble seeing the 3806 menu with this set up, though I did keep the DVD player turned off when I was working with the A/V receiver menu. You also need to make sure that your in "amp" mode (soft button area at top) with the remote and that you have selected "DVD" on the hard-button panel of the remote (at least that's the way I did it on my system).
A few months ago, I replaced my old Sony DVD player with a Denon 5910 DVD player and hooked the HDMI cable from the DVD player directly to the TV. I then hooked an S-video cable from monitor out on the 3806 to one of the S-video input ports on the TV (as suggested above and as you have now done). I actually like this set-up better than having both the A/V receiver and the DVD player talking to the TV through the same input port. I hope you are enjoying your system as much as I am enjoying mine!