The answer depends on a couple of things.
First, what make/model of video card are you using? Or, are you using your motherboard's integrated video adapter (if so, need the make/model of the motherboard)?
Not all DVI adapters will work with VGA devices. DVI-D ports can't convert from digital to analog signals, a required by the VGA standard. DVI-I can with the proper adapter.http://en.wikipedia.org/wiki/Digital_Visual_Interface
Generally, a digital connection is the better choice and is not limited to DVI ports. You can use HDMI and DisplayPort to conect to devices. In your case, have you considered using HDMI?