The Hauppauge HD PVR devices are currently not supported, because they output compressed video. Support for devices like this will at some point be added in the OBS rewrite that is currently in the works.
Some people use these devices by using window capture (with Aero off in Windows 7) or monitor capture (with Windows 8, or with Aero off in Windows 7) on the application Hauppauge provides with the device.