If you're using the MX5021 with nothing else connected, then the connectors should be in the box, they're a 2 x Female RCA - 3.5 mm female phono. DVD players should have an RCA-RCA cable, and adding up the three cables (including the mian 3.5-3.5mm cable) should get you the connection.
If you have already used up the connectors you need a 2xRCA male - 3.5mm phono male. Use the Aux in on the control pod to hook up the player.