VGA connectors carry analogue video signals for red, green and blue channels (RGB). Component RCA carries a similar but different signal (YPbPr). Some devices are capable of sending and receiving a YPbPr signal over VGA, but many others cannot. In the cases where it is feasible, you can easily make your own VGA to Component RCA cable using a Cat 5 cable.
Untwist and strip the orange, green and blue pairs from both ends of the category 5 cable.
Attach RCA plugs to each pair on one side. Connect a pair's solid conductor to the RCA centre pole and the striped conductor to ground. The green pair will carry the Y signal, the orange pair will carry Pr, and the blue pair will carry Pb.
Attach the other end to the VGA connector by soldering the conductors to the following pins:
Pin 1 -- Orange Pin 2 -- Green Pin 3 -- Blue Pin 6 -- Orange/White Pin 7 -- Green/White Pin 8 -- Blue/White
For some display devices, you may have to manually set the VGA input to "component."