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You do not need the VGA cable to have both the HDMI and AV cables connected.  All you need to do is take off the bulky plastic housing from the AV cable using a knife.  It takes all of 30 seconds and does not damage the internals of the cable connector in any way.  Once that is done, the AV cable connector will be slim enough that booth it and an HDMI cable will fit.  After that use the RCA red white cable with a cheap adapter to mini stereo for audio and HDMI to DVI for video.