Converter Box ($40 coupon) does not work with cable?

Hi all;

I just bought a Zenith box with my $40 coupon. It works with a rabbit ears I connected to it, got 3 HDTV stations.

Now the problem, I was led to believe if I connected the Ant. in (F-connector) to my cable TV connection and connected the F-connector out to my analog TV I would be able to receive all my cable channels and any "digital" ones I was not able to get before.

I hooked it up and -- I got absolutely nothing! I thought the box was bad, that I hooked up the old rabbit ears and the auto-scan picked up 3 stations.

What an I missing here?

Please help if you can.

-TommyR