Samsung's early model DLP's only display 720p (1280 X 720 resolution). They use an internal converter to switch everything to 720p, after input.
So, even though the component cables accept 1080i, you're only seeing the equivalent of 720p (1280 X 720) on the screen, no matter what you do with the settings.
So, if you're getting the "not supported mode" message, try setting your source (PS3, XBOX, etc.) to output 720p (or 1280 X 720) instead. On my 2004 Samsung DLP HLN5065w, I have an XBOX 360 connected to the DVI port, using an HDMI cable, and a DVI-HDMI converter on the TV's DVI input. To get it to work, I had to plug the XBOX into an LG 1080p HD monitor via HDMI, set the XBOX to "720p" in the display settings, and then unplug the HDMI cable from the LG and connect it to the Samsung instead.