Since I'm not sure exactly which portable DVD player you have, I can't be super-specific. However, most portable DVD players use similar connection methods.
The yellow video connection is for exactly what you would think, composite video. In some cases, I've seen portable players use a 4 conductor 1/8" connector (headphone size with three stripes) to red, white, yellow A/V connections. Other players output video only through this jack, and rely on you to use a 1/8" to red and white RCA jack cable on the headphone output for sound. Orange connections are typically for coaxial digital audio (a connection for a surround system), which can be used with a 1/8" to mono RCA jack.
If you could provide the brand and model of the player, I could probably be more specific. Although this may be all you need to get it hooked up.