recording cc

I have a 42" Dell Plasma TV (W4200 HD) hooked up to a recently purchased HDD DVD (Magnavox MDR537H/F7). Page 43 of the DVD manual says you can record cc as part of the image even with a tv that is not cc compliant.
CC will not appear on screen if unit hooked up via HDMI if you have HDMI mode selected. Have since hooked up via component video/audio. While in TV mode, captions on, hit record on Magnavox's remote. Try to record for a couple of minutes. Hit stop. Use Dell's remote to change from TV to AV2 stetting (to get the Magnavox remote to work). Check what I recorded, no cc. Neither will it display cc while in AV2 mode.
According to Magnovox's manual cc can be recorded so can someone out there figure this thing out? I'd really appreaciate it. No one in these forums or anywhere in internet land seems to have the answer. Everything got all twisted after the digital switch. We USED to be able to record cc. I'm hearing impaired, have never recorded anything (due to difficulties above) would really like to join the 21 century. Thanks for all input. i just have to get this done before the National Championship game comes on!

Your right. Re-read manual. Ordered cables. I'll try that & see. Thanks for the input.

i have, several times. As JoeD pointed out, try composite. I've tried everything but that. Thanks for the link.

Yeah hooking up in compisite worked. Thank's everyone. Now, another delima. I'm wanting to upgrade my video card on computer. Hook up to TV. Be able to record CC. I know I can't find a video card with composite connections. Can I use any hook up from computer to TV (DVI/HDMI/DP) and still be able to record tv if I'm running coaxle btwn recorder & tv? Idon't know if I can record CC off 1.2 display ports.