If your receiver has a subwoofer output or an "LFE" output you connect this to the "LFE" input of your Velodyne, using that subwoofer interconnect cable.
Look in page 26 of your Yamaha manual. This will show you how to connect your Velodyne. You only need the subwoofer cable. You do not need to use the Y adapter.
I plugged one of the cable to the LFE input on the subwoofer and on the other end I was going to plug in to the receiver where it said "subwoofer" but it would'nt fit.
That is odd...the Subwoofer output of that Yamaha is RCA. The cable for you Velodyne subwoofer should not have different ends, just RCA jacks...does it?
If the output jack on your Yamaha and the input jack on your Velodyne are the same, they should fit. If they don't, take a closer look at your subwoofer cable.
The Y adapter is to plug into the R/W input on the sub. This allows you to use the crossover setting on your sub (if you are so inclined). You plug the cable into the sub out/preout of the reciever, into the Y, and then both into the sub.