New to High Definition media.

I recently purchased Haier 42" plazma monitor which is considered to be NOS in terms on todays TV market.
It has DVI input for the digital signal and I'd like to utilize it. As far as I know, DVI socket is only for the video signal and not for the audio like HDMI. In the monitor there's a jack for the audio looks like headphone jack. How do I utilize HDMI from cable box to TV for HDTV channels?
Another question arises what kind of DVD player I should acquire in order to view high resolution playback? I tried to utilize component video output from conventional DVD player and certainly was disappointed with performance... Yes I know how to toggle between the DVD player outputs between composite and component but still I must be missing something. Please recommend models and features a-must to have for high resolution viewing.