just use the official rgb cable , and plug into any 2 of the 3 scarts on the back ( i think scart 1 & 2 are rgb capable )
only problem is that the wii has a mediocre at best video out , which is odd considering it's basically a slightly faster gamecube and the gamecube had a very good rgb out - it even came boxed with an rgb scart if i recall !
don't bother buying the component lead - it's only of use ( supposedly ) for hd tv's , but since the wii doesn't even support hd - it's really rather pointless
the picture via the component leads in my experience shows no improvement over rgb ( that's through 4 different sd/hd lcd tvs ) so it's basically a waste of money