I don't think that's even possible, and if it is, it would be pretty expensive.
The only other way to do it that I could think of is to use an S-Video out port or something on your cable box, and I don't even know if that would work.
just because your monitor supports PIP does not mean your computer does. as stated, you probably need to buy a tv tuner card. possibly reading the owners manual for your monitor may help you out as well... good luck!