You're going to have to test & isolate where the fault is coming from. Do you have other devices that connect via HDMI to the TV set? If they're working, try using their HDMI cable/their HDMI input on the TV set. If it doesn't work, it's the DVD player; return it to the store, or RMA it to the manufacturer, if it's under return policy/warranty.
If you don't have other devices, but have a 2nd TV set (or can take it to a friend's house), try testing that way. If it still doesn't work on a different TV (including with a different HDMI cable), it's the DVD player.
If the DVD player works with its own cable in a different HDMI input, it might be a problem with that input on the TV. Confirm by plugging another device into the problem input; if it has the same problem, then the HDMI input is faulty.
If the DVD player works in its own input with a different HDMI cable, then it's the cable. You can get a cheap one for $15-20 USD, as the more expensive ones don't really perform any better.