I just got a 15″ Polaroid LCD Computer Monitor/TV. How do I get it to work as a secondary monitor to my laptop?

I plug the 15 prong VGA cord into my HP Pavilion and the screen on the laptop goes grey and I have the input of the monitor set to VGA and the screen on that stays blue?

When I use my friends dell computer monitor I just plug it in and bam it works.

Any advice??

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