Connecting a Dell 1201MP projector

I have just purchased an XPS laptop with HDMI video output port. My projector only has VGA input port. I also purchased a cable with HDMI one end and VGA the other, When connecting to the projector the computer cannot detect the projector. Any suggestions please?

I would also like to know when connecting to an HDMI port on a monitor/TV via the HDMI output port on the computer can you still keep the audio output (headphones) port alive. It seems that the audio is only directed to the external monitor and no longer is available for my external speakers.