I'm using this setup, but I connect it with by dvi instead of vga. vga is the old port, dvi is better, and you should probably use it. Everything seems to work fine for me. After a period of time with no use it will enter power save mode, but not if I move the mouse or something. I think you can set the time in the menu.
In order for the setup to work, be sure your macbook is plugged in. It can't operate the monitor on battery power. Also, make sure you have the vga port selected. Hit the button on the front that changes the input mode. It will cycle through all the options (component, vga, dvi, etc.) Also, check to see that it is in Mac mode. This won't make it power down, but it will look better.