A certain technology-challenged relative, who shall remain nameless, frequently calls me to ask the same question: "I just connected my projector to my laptop. How do I make it, uh, go?"
I agree it isn't immediately obvious how to make a projector (and/or second monitor) "go" after connecting it to your PC. After all, displays aren't plug-and-play devices.
If you're a Windows 7 user, however, all you have to do is remember the letter P--as in "Projector." Specifically, pressing Windows-P invokes a new display-switch toolbar that makes it a snap to switch between various display modes. Take a look:
By default, the mode is set to Computer only. Click Duplicate and Windows will clone your screen to whatever secondary display is connected, monitor or projector. That's handy during presentations and other situations when you're still working at the computer.
If you're using a second monitor, however, I recommend clicking Extend, which literally expands the desktop so you can open extra windows (a common example is running your Web browser on one screen and your word processor on the other).
Finally, there's Projector only, which turns off your laptop's LCD, effectively turning the projector into your monitor. Why do this? If you're trying to preserve laptop battery life while giving a presentation, this will help.
Sorry to say that if you're still running XP or Vista, you'll need to find your laptop's external-display toggle (which is usually the combination of the Fn key and a function key), or delve into the Control Panel, bring up the display settings, and fiddle until you get the right combination.
Little amenities like this are why I'm loving Windows 7. That's right, I said it!