Once you go into said menu.You guys mind if I clear a few things up here? (Couldn't stop laughing when I read both the post and it's reply.)
OTA = Over The Air
By OTA receiver do you mean an antenna?
You need an AM21 or the new LCC for to integrate OTA channels into the guide on your DirecTV DVR. The LCC will work only on an HR44 or HR54, by the way. You plug the USB cable on either device into the USB port on your DVR.
Then you connect an antenna to your LCC or AM21. Of course, the antenna must be good enough and able to receive the channels you are interested in. The LCC comes with a mouse pad style indoor antenna and you can purchase and use a better one if you need to.
Also - when you plug the AM21 or LCC into your DVR, a setup screen on your TV will guide you through the setup process.
It doesn't pop up just by plugging in, afaik.