Yes, you will need a hdmi to component (not composite) converter - see post 14.
And some component video cables (phono to phono x 3) to connect to the colossus. I think the hd-pvr comes with those cables, but not the colossus. Both the colossus and hd-pvr have optical sockets for 5.1 dolby digital sound. So you'll need an optical cable as well if you don't already have one.
You can burn to a blu-ray but you will need appropriate software - TS muxer is free and wll create blu-ray files that you can use with imgburn. If you need to edit you will need some hd editing software. You might get some bundled with your blu-ray burner.