The original Microsoft AV connector & the separate HDMI cable for the Xbox 360 cannot be connected together because the so called "dongle" of the AV connector is too big, partly blocking the HDMI socket.  You need an  adapter to connect both.

3 options:-

1.  Buy the original Microsoft adapter  for about RM180.00.

2.  Buy a 3rd party adapter for about RM30.00. Can get from Ebay.

3.  Hack the original AV connector.  Roughly that is use a screw driver to dismantle the big plastic "dongle" so that when you connect back there will be enough space for the HDMI cable.  It will be a tight fit.  Make sure you insulate with some tape the exposed connector.