http://www.yamaha.com/yec/products/productdetail.html?CNTID=5027893&CTID=5000300&ATRID=1020&DETYP=ATTRIBUTE
Connect component video output of the X360 to the far left component video inputs of the receiver.
Connect digital audio (optical) from the X360 to the optical input immediately below the component video input.
Connect component video out of the Yamaha to your TV's component video input.
You MAY need to make a composite video connection from the X360 to the TV first to setup the video output of the X360 and tell it to use component video instead of composite video, but this is not typically the case.
Just make sure you are running component video into the Yamaha AND that you are running component video out of the Yamaha to your TV. Also make sure your TV is on the component video input, not the HDMI input.
Not sure, but some people think that just connecting HDMI is enough. This is only the case with higher end receivers which convert composite, s-video, and component video to HDMI... This receiver does not make that conversion, so composite/component video would need to be connected.