Then you can't capture. You must have bought the regular version, not the all-in-wonder. You can buy a TV-Wonder VE for about 70 bucks canadian, 50 american. Or if you just bought it, return it and buy the all-in-wonder.
http://www.amazon.com/exec/obidos/tg...&s=electronics
http://www.amazon.com/exec/obidos/AS...478706-1323206
But I wouldn't really suggest buying an ATI, because they have the worst driver support of any video company. Try looking at some alternatives.