My apologies, it read to me as though you didn't have the manual. Your sub has connections for both high pass (powered from your sub) and LFE (line input) which is the sub out from your receiver. As stated, use a simple Y cable, RCA type to go from your receiver to your sub. I don't see a directive on which LFE to use (left or right) if you are using a single input to the sub. It may not make a difference, I would probably try the left LFE input first. You do not need to use the powered speaker in/out connections on your sub, as your receiver has these. Set your high pass and low pass both to 90hz, phase to 0. Even if your crossover points in the Denon aren't set, you won't pump highs into your sub. Set your gain or volume control on your sub at the halfway point. Make sure your speaker connections from your receiver to your speakers are correct, + to +, - to -. Do not assume they are. This is a very easy mistake, I have done it many times.
At this point, if inputs are correct for your paraphernalia, you should be able to get sound.
If you can, skip the setup wizard for now. You should be able to get playback without it. When using the setup wizard, it is probably wanting a network or internet connection to set up rhapsody or other internet based programs. If this is the case, that can be dealt with after you get sound.
My hypothesis on the red light on the sub, is that it is in standby mode waiting for a signal, OR, it has gotten a signal it didn't like. I suspect it has the ability to see a bad connection. Are you running your speakers from your sub? If you are, hook them to your receiver. If not, do you have a proper connection from your Denon to the LINE input and only the line input on your sub.
Here is a PDF on the receiver, in case you don't have it.
http://assets.denon.com/documentmaster/us/owners%20manual_avr1912.pdf
Hope this helps, if not, I need more info to better understand your situation. The Will Rogers thing is kind of a self reflection
