Without a brand and model number of the sub I cant give you specific instructions but generally for these types of subwoofers here's what you do:
Take left and right front channels from receiver and connect to the left and right inputs of subwoofer respectively. There should be speaker outputs on the back of the sub amp. These go to your front speakers. Turn down the sub level and plug in the power for the amp. Play something and adjust the sub level to your liking. There may or may not be a crossover level adjustment on the sub so adjust to liking if there is.
It is a Yamaha YST-SW40
I tried putting it the way that you have described but all I got out of it was a steady buzz sound.
Hmm, maybe something's wrong with the sub? According to the manual (which is easily found online), the method suggested by jtvang125 should have worked.