Boys are active - they build, create, destroy, jump off things, climb things. And all kids test boundaries, some more than others.
So. The thing to do is to get him outside and on the go, so you can remove all the 'no's' in his life - or at least most of them for hours at a time. Go to Central Park, bundled up. Let him climb up those rocks and over the Alice statue and the bear statue. Let him run run run.
And then, there is teaching him to do what you tell him/not to do what you tell him not to do. Boys especially need few words - not long emotional explanations. A firm, quiet 'no', looking in the eyes with a thwap on the hand - it doesn't have to hurt - but it should be uncomfortable. Keep up the routine until he stops doing what ever it is - touching the DVD player. Don't stop him from touching it - only if he touches it do you thwap his hand.