Hmm, is it a vga to component cable? If so, is there a circuit in there that converts the RGB from the VGA to component? This might be something that is really video card specific (ie only a certain card can do this). I have seen similar such cables, such as VGA to s-video that are essentially a scam (ie - some weird obscure card can do it, but no normal card can).
If this cable was made for your card, and your card can do component out, then it should just be a matter of enabling the TV out in the advanced display settings, and voila. If not, then you can try and set your windows to run at the proper frequency of a TV, and hope for the best (although it is doubtful).
If you can, post what kind of cable you bought.
/bill