Yep, you need to activate the DVI connector.
Open your display properties and click the settings tab. Click the second monitor in the box at the top of the window to highlight it and then check the box marked "Extend my Windows desktop to this monitor" & click Apply. Now check the box marked "Use this device as my primary monitor" and click Apply. Disconnect the VGA cable and connect the DVI cable, you should now have a display on your monitor through the DVI cable.