I noticed with my Samsung flat screen that they say to use HDMI /IN port #1 on the back of the TV to connect a DVD player. I don't know why it matters if it's port #1 /IN or #2 /IN, etc., but maybe if you haven't already, you could try swapping them around and see what happens.
The only other thing I can think of is that maybe the DVD player or cable isn't HDMI v1.3. I understand that with older versions of HDMI this can sometimes lead to problems with no picture or no sound.
I don't know what other connections you could try other than maybe DVI to HDMI, but since you're DVD is newer and has the HDMI port, it most likely doesn't even have this option. You'd need a separate audio cable for this setup anyway.
I don't really see how this could be any sort of setup/menu configuration issue, but maybe something to look into.