The cable box will upconvert SD programming if you tell it to. It just won't do it as well as a most receivers or most displays.
Some receivers (those w/ HQV or Marvell processing) upconvert better than others (those w/ Faroudja processing). Displays vary wildy from the great (Pioneer) to the absolute garbage upconverting (Mitsubishi). However, most of those still do a better job than the typical cable or satellite set top box.
To set up one's receiver or display to upconvert, simply tell the cable box (or DirectTV receiver) to output in native mode. 720p programs will output to your receiver/display in 720p. 1080i programs will output in 1080i, and 480i (standard definition) programs will output in 480i. Your receiver or display will upconvert 720p and 480i to 1080p and de-interlace the 1080i to 1080p.
As, markw said it won't look like high definition. But, that's not the goal w/ video processing. It's just to make it look as good as possible.