1. The error message you're seeing can occur when the refresh rate on your computer is not supported on the monitor.. Try reducing the refresh rate to something the monitor supports.
2. Try finding and installing the most recent graphics driver for your graphics card.
Hope this helps.
I have a HP tx2000 laptop with an external monitor hooked up to it. Everything has been working perfectly for about a month and a half, then today I went to install COD4 on my laptop and now whenever I close my laptop screen my monitor says "VGA Mode Not Supported". I uninstalled COD4 and still have the problem.