You don't have to do anything, there is only 1 connector on the back of the cable PVR.
It works because it can be split internally.
All signals appear on 1 coax all the time, so a split just gives you 2 copies of the same set of signals.
In the satellite world, generally splitters don't work because a receiver either needs to send a tone of some sort and/or change the voltage to select an additional 'bank' of channels.
So an additional tuner or 2nd receiver would create a conflict when it tries to tune something not already on the line.
This is over simplified, but demonstrates why.
Off course there are exceptions, but that is an advanced discussion.