I just picked up a MacBook Pro. DVI output on Nvidia 8600GT.
The place I'm going to has S-Video and Composite (Yellow) connections ONLY!

If you "just" picked up a MBP, it may be "micro" dvi rather than full sized.
store.apple.com

Video quality will suffer when using comp/yellow over svideo, and if using svideo try to use a distribution amp when making long runs and multiple screens.

FINALLY, someone who sounds like they may be able to help. It's not that connector. It's bigger than that.
This is the laptop
www.amazon.com

Are there different sizes? Or are all same size? No sales reps at apple store or best buy can answer my question..

Is this adapter store.apple.com gonna work with the above mentioned laptop? It says that adapter is for with ATI X1900 XT. I have nvidia 8600GT

hmmm i did help .....I even googled it for you.....you just dont wanna listen
and mp3 he gas an older mac with the 8600gt card and dvi out...... so a dvi to s video/composite will work I have been using this adapter 3 times a week!!!

Ok, so you have a full sized dvi connector and there are 4 main versions dvi a, d and dvi i avd M1-DA.
The pin structure is different and that adapter will not work with your machine.
* DVI-D (digital only)
* DVI-A (analog only)
* DVI-I (integrated, digital & analog)
* M1-DA (integrated, digital, analog & USB)

This adapter should work.

www.amazon.com

More good stuff here:
en.wikipedia.org

Nod to cyder for his assistance also, our video guru.