DirecTV HD DVR
Have not tried this for a while but with my HD DVD, and HR20 I believe (Something like that) I put a call into DTV to see if it was possible.
They confirmed that ALL the output ports were active at the same time.
My route was the same as yours, DVR to A-D Convertor to Computer. (a Mac). Worked a treat.
Maybe the newer HD DVR units work differently.