I have a Mini DisplayPort to DVI adapter which I use to connect my MacBook to a screen that has DVI input. I also have a screen with VGA only input which I want to be able to use, so instead of buying yet another expensive Apple adapter (the Mini DisplayPort to VGA), I just got a cheap DVI to VGA, so I can do Mini DisplayPort -> DVI -> VGA. It doesn't seem to work though. The screen just says "no connection".

Does anyone know if this is actually supposed to work (and my DVI -> VGA is just broken), or is this simply not supported and I need to get the expensive Apple Mini DisplayPort to VGA?

Thanks!