I assume this is the device:
http://support.dell.com/support/edocs/acc/...46/en/intro.htm
The act of getting video from an analogue source (in this case you video) is called capturing.
Capture devices are usually a bit like microphones (although seen as it is video it can get a bit more complex) and it will work like that is in this case (digital TV is broadcast using some version of MPEG so you can snatch a stream right out of the air).
Much like every other bit of functionality in existence the maker will try to bundle a useless app to use it (which will be of little use to anyone), try it to see if the device works and then forget about it.
Virtualdub is a good capture app but it uses a slightly older architecture (Video for Windows aka VFW)
http://www.virtualdub.org/docs_capture.html
The newer one as far as windows is concerned is Directshow but some also use a driver level method (WDM aka Windows Driver Model).
If vdub does not work have a read of this forum section at doom9 and post back here:
http://forum.doom9.org/forumdisplay.php?f=10
What to capture to.
I mentioned lossless up above which I strongly suggest you use to capture to. Lossy codecs/standards (most of those ones you will have ever came into contact with) lose some info in an attempt to make things easier to compress. Furthermore they are based on prediction of upcoming frames (why 2 pass encoding exists) and when that does not exist.....
Links are up above, failing that type lossless into
http://www.free-codecs.com/search.php