I'll assume that everything is connected fine. Can you try connecting it to another computer to make sure it works? If you do that and you still get no picture then it's probably dead. I once had a family friend give me 3 monitors for free and they all were DOA.
Well, that could deffinately be the problem. I'll just go ahead and guess that your video card has only DVI and the monitor is VGA? Anyways, you'll probably need something similar to what is in the link to fix the problem.
If you just recently bought a video card then check the box for something like this.