Try the following:
1) Make sure you have all three component inputs to the right ports on the TV. Missing one of them can cause colors to go wayward. Component video is YUV, not RGB, despite the Red, Green, and Blue colors of the plugs.
2) Try adjusting the color controls on your TV
3) Try making sure your TV supports the resolution your adapter is outputing. If it is a standard def TV, you should use 480i. If your TV has enhanced defintion, you should be able to use 480i, 480p, or 720p. If your TV is high definintion you should be able to use 480i, 480p, 720p, 1080i, or in some cases 1080p.
3) Make sure your Windows control panel is set to 16-bit color or higher
4) Try connecting another component output device to the TV on the same input. For example, a DVD player and see if this works. If it does work, the problem is with your adapter or computer. If it does not work, the problem is likely the component cable, or the TV itself.