Sharp,
You'll also need to go into your DVD player setup menu(with no disc in the tray) and manually activate Dolby Digital and DTS on your player with your initial setup. Otherwise, it will only output 2-channel audio regardless of the source. It sounds like you have not completed the initial DVD player configuration yet. You'll also want to select 16:9 as your DVD player default aspect ratio, etc...etc... and all that stuff.
And like Buckeyefan noted, you'll want to make sure your connecting the player via an optica cable or digcoax. Once all that is complete, I make it a habit to always go to each dvd audio setup/language menu before starting the movie to make sure I selected the best sountrack possible. Some older DVDs will use 2.0 as the default, and you'll need to manually choose the 5.1 soundtrack. In the case of DTS movies, DD is usually the default soundtrack, and you'll need to manually opt for the DTS track for that specific DVD.