You don't need to connect it to the tv. But since I have a laptop, that's actually a good idea, never thought of that XD
You just move your console to your desk where you have your pc/laptop, then plug the dazzle into the usb, then plug the composite (yellow red white) cables into the dazzle, plug the power supply in for your console and insert the install disk for pinnacle studio 12. Install that with the code thats on the cd sleeve for it, and when you install it it will install the dazzle drivers too. While using pinnacle studio, you will probably notice the preview window is WAY too small. Download VirtualDub and unzip it, run it, and then from the file dropdown menu, pick capture avi.
Now from the new dropdown device menu, pick your dazzle. On the audio dropdown, tick the enable audio capture and enable audio playback. Also tick your dazzle device on that menu. Now everything should be set up right, so turn on your console. when you want to capture hit the capture button on the capture dropdown menu. Once your done recording, open pinnacle studio and edit from there. Make sure to delete the old avis once your done editing in pinnacle and you compress it, because they take up alot of space.