Not sure how your connectors are set up, but at work I have a desktop and use a projector with it by hooking the "in" feed on the projector into the "monitor" feed on the PC. Then I hook the "out" feed from the projector into the "in" feed for the monitor. In essence, make the projector your monitor...
If that doesn't work, it may be a bad bulb...or you might check to make sure the lens isn't covered by its cap... ;-)