The Pyro records component, and I believe Virtualdub just reads it as "Component" with the video input. The device will show up as a VCR in Windows however.
You could use RCA splitters, but it's recommended you get Component specific splitters.
You could use like one of these:
http://cgi.ebay.com/3-RCA-RGB-Compon...QQcmdZViewItem
And one of these:
http://cgi.ebay.com/6FT-2M-ATLONA-CO...QQcmdZViewItem
Now assuming you have the Xbox 360, plug the component cables into the splitter, plug the new set of cables into the splitter, then plug the new cables into the Pyro. And then plug the cables built into the splitter into the TV.
These splitters are just wired 3 ways so either way will work.
You'll also need a set of Audio Splitters.
By the way, you know the Pyro can't record 480p, right? Me, Folksy, and Davobrosia have worked on it alot.