(added 14 March 2005)
IF the projector is on (you look at the lens and see the lamp is lit) but there is no image being displayed on the screen regardless of which input is selected there are a couple of things to check.
There is a button on the remote labeled Blank. Try pressing that and wait a second or two. If that doesn't get an image then try the following.
Go into the menu system and make sure the input is set to VGA and not to DVI. (A word of caution -- only change one thing at a time while in the menu system, and if you need to change another thing reset the previous one before changing the second one -- don't want to change so many settings that you can't get back to the original setup.)