Don't just plunk down that subwoofer in the nearest corner and leave it there, making rash judgments on its performance before you've taken time to experiment with different subwoofer locations in the room. Subwoofer performance is so dependent on individual room dimensions and placement, as well as the relative position of chairs and couches, that you must experiment. A corner sub location will give you the greatest bass output at the risk of boomy or thumpy deep bass. You can always try a corner first; if the bass is too boomy, gradually reposition the sub away from the corner along one wall or the other. Try the "crawl" test, which you can read about here. It works quite well to determine the optimal placement for your subwoofer in any room.
Don't turn up the subwoofer volume too high so you can "hear" it when you've first connected it. Start with the subwoofer turned all the way down while you play a selection of music (not a movie), then gradually increase the subwoofer volume until you detect the foundation of deep bass. Gradually increase the subwoofer level until it's nicely in balance with the midrange and treble. If you've set it correctly, test it with a movie noted for its low-frequency content and you'll likely find that the subwoofer level is ideal. You may still want to make slight adjustments of the subwoofer level using the A/V receiver's remote control during movies or TV shows. Some directors or sound mixers get bass-obsessed and mix the bass levels too loud, which may be distracting and inhibit dialog clarity.
Look at the controls on the back panel of your subwoofer. There should be a control labeled "Crossover" and nearby it may have a switch labeled "Bypass". In most home theater setups that use an A/V receiver, you will set the crossover control inside the receiver (a default setting of 80 Hz works very well in most installations) so the subwoofer's internal crossover won't be needed. Nor do you want to use it together with the crossover in the receiver. That's called "cascading" crossovers and it's not desirable. So if your subwoofer has a "Bypass," then set it to that position. If the sub does not have a bypass setting, turn the crossover control to the highest frequency setting, usually around 150 Hz. That will effectively remove the subwoofer's internal crossover from the circuit.
With all AV receivers and subwoofers, you'll only need a single shielded RCA coaxial cable from the receiver's Subwoofer Out connection (color-coded purple) to the subwoofers "line-level" or "low-level" female RCA input jack. Don't use speaker cable to connect the subwoofer to an AV receiver. That would only be required for a receiver or amplifier that lacks a subwoofer output jack, e.g., an older stereo receiver or integrated stereo amplifier or a stereo "separates" installation. In those cases, you run two speaker cables from the stereo receiver's left and right speaker outputs to the subwoofer's left and right speaker inputs (they will be labeled "Speaker Level Inputs" or "High-Level Inputs") and then from the subwoofer to your main speakers. For that installation, you would set the subwoofer's own internal crossover. Try about 80 Hz as a crossover frequency.