DVI-I cable - No Signal

Hi - I wanted to get a better picture from my laptops (one Asus, one Lenovo) on my DGM monitor. I have been using a VGA connector, but just bought a DVI-I to VGA connector to connect the screen to my laptops.

But I am not getting any signal from either of them, even if I set the input setting on the monitor to DVI.

Am I doing something wrong?