Hi. Welcome to FixYa, I am Kelly
The same site you state there were no instructions on (FisherPrice) has the insturctions. 4.37 mb file here:
http://www.fisher-price.com/inst_sheets/N0446pr-0920.pdf
assembly is on page 5, 6 and 7
AAA and "C" battery installation page 8
TV connect mode page 9
Adult connect TV set up page 10 -11
Play options 12 - 17
This should be what you needed.
Thanks for Choosing FixYa,
Kelly