Generally, XP (are you running that?) should allow you to configure both outputs to be active at once. Check your display settings (rt-clk desktop, properties, settings) to see if XP correctly sees two possible output devices. If not, then you may have a driver problem. Check then to see if you have the proper driver loaded.
You might have an S-video-capable TV nearby, so you might be able to use that for testing. However,
>>4 is right ... using S-video to feed a VGA monitor is going to take an adapter of some sort. You can always get better advice at your local computer store for these things, like obtaining an S-video-compatible display.