Hello jonbest
01. Stop buying random cables - it gets expensive
02. Component Video - S-Video, YUV and RGB (Various Flavours) are all component video signals; they all split a video signal into constituent parts and deliver the signal over a multi core cable.
03. 'Component' video in Home Theatre land - as RGB is not used often in the US then YUV has been adopted as meaning 'Component' by most Home Theatre manufacturers.
04. YUV into VGA(HD15) - not all HD15(VGA) sockets are YUV compatible - the majority are not and only accept RGBHV 'PC' signals.
05. SKY, X-Box, PS2 - all of these devices output RGB on SCART as standard. The X-Box and PS2 can Output YUV with suitable adapter cables.
You have two choices if you want to connect your kit via YUV to your Projector - both options require that you employ at least one RGB2YUV converter box in your system;
JS Technology provide a very high quality converter at £145.00.
If you stick with all three sources outputting RGB on SCART into a suitable SCART switcher (B-tech Quintro) you can add the RGB2YUV converter to the Output of the SCART switcher and then a single 3RCA to 3RCA 'Component' Video cable up to the projector.
or
Add the relevant YUV 'Component' Video cable packs to the X-Box and PS2 plus add the RGB2YUV converter to the output of the SKY Box and then use a suitable 'YUV' Switcher - many AV Receivers have multiple YUV Inputs - if you don't have that facility you can add the likes of a Zektor HDS4 programmable switcher to your set-up.
The second option may be beneficial as the YUV kits for the X-Box and PS2 offer you a higher quality signal than the SCART RGB signal normally outputs.
Either way its going to cost a few quid and you also need to ensure your projector is YUV compatible.
On top of the above if you also want to integrate a TV its going to get slightly trickier (unless your TV is also YUV compatible).
As Ken says What Projector? - though also What TV? and What AV Receiver?.
Best regards
Joe