As Tony said ... you can use any of those cables to connect your Sony to Mitsubishi.
Page 10 of the manual shows how to connect the system
http://www.docs.sony.com/release/DAVHDZ235.pdf ... the easy and best way is to use HDMI, second option is Component , third option "S" cable and last composite (yellow cable). If you don't use HDMI you need to connect an audio cable to get the sound.
By the way, Welcome
Edit: I check the diagram on page 10, you don't need the audio cable ... sorry, I was thinking of this system as a regular receiver
... but it shows that you can connect and audio cable from your TV output so you can hear the sound with the speakers
... if you have Cable/SAT or a VCR connected to the TV, just use a pair of audio cables (red and white) from TV output to TV?SAT on the back of the Sony ... I hope this make sense
