Sounds like you tried to play a movie that you purchased/rented from iTunes.
"Additional Information
iTunes Store movies (SD and HD) and TV shows (HD) require an HDCP digital connection. If you attempt to play this content using the iPad Dock Connector to VGA Adapter, an alert will appear to let you know that an HDCP-compatible device is required. To view iTunes Store content, do one of the following:
Sync the SD version of the TV show
Use an Apple Component AV cable to play the HD version at 480p
Use an Apple Composite AV cable to play the HD version at 480i
Attempting to play rental content on a device that requires an HDCP digital connection may start the rental timer. Use one of the recommended Apple AV cables to view your rental before the time limit expires."
From:
http://support.apple.com/kb/HT4108