you need to use a composite or s-video lead from monitor out on the 3803 will not show on screen menu over component.
make sure you are plugging monitor cable into right hole on back of 3803 . when i moved mine round i spent a few hours trying to figure out why it would not work. there is so many connenctions its easy to get it wrong.
i use a cheap composite into plasma. remembe to select the imput its going into on plasma too. mine is on av.
As far as I know the 3803 will display the OSD via component. My old 2802 didn't but I'm pretty sure the 3803 will, otherwise it would be pointless having composite or s-video upconversion as you'd still always need to have a comp/s-video connection to use the OSD.