Couple things to check... First, your cable box will only send video out DVI, so you're good there. Youhave to likely enable DVI output in the setup menu (look on the remote).
Also - just because your cable box has a DVI output, doesn't mean it's active. Look over at AVS Forums for you local HDTV/cable company and see if you can post a question about your particular model.
As far as everything else, select that input and then go into the Yamaha GUI and make sure you have HDMI correctly set up and that the particular input you are using is pulling audio from the digital coax...