This thread solved my problem! I have an LS855 and was not getting any video out. I connected the cable and the red cable did indeed have the video on it. I had several different cables and found that the only one that worked is the one that has a single 2.5 mm connector on one side and 3 connectors on the other end (yellow, red and white).
By the way, the AUX setting on the player is intended for inputing video and audio from another source to the LS855. Like if you wanted to pipe the signal from a vcr to your portable dvd player.
Thanks for the help. I would have never figured this out on my own.