I use S-Video on mine and tere is nothing on the GC to set. The TV must be set to the S-Video input. The first two things I would check is 1) make sure the S-Video cable is plugged all the way in, 2) try using the yellow video cable instead to see if it works, since the cable itself may be bad, 3) make sure everything is on the right channel etc.
Also if you are using one of those multi-s-video selectors to hook up multiple systems try hooking up the GC directly to the TV just to make sure everything is working.