I suspect that the signal that is output by that device is a digital signal... if that's the case, it will only drive monitors that are capable of receiving HDMI or DVI signals... including CRTs, but not CRTs that have an analog VGA port.
Perhaps others can comment, but you might be better off returning that device. I do not think it will work with your old CRT VGA monitor.
You don't mention if this is a laptop or a desktop... if it's a desktop and you can buy a video card that is capable of outputting a VGA signal. If it's a laptop/desktop and you have an HDMI output, you can get something like the items below:
http://www.amazon.com/dp/B007KFVQXI
http://www.amazon.com/dp/B00879DM56
Be wary that the quality with these cheaper adapters might not be excellent at higher resolutions, and be aware of any compatibility disclaimers on the product pages.