External monitor not working with Macbook Pro?

I just bought a 15-inch Macbook Pro (Mid-2015, OS X El Capitan 10.11.4), and planned to connect it to my BenQ GL2450HM (had it since circa 2011 for my Windows PCs). I got a DVI adapter for them, but the adapter doesn't connect to the cable properly (like it'll fall off easily), and then when I hooked everything up, the monitor did give me a green light for a bit, but eventually displayed "no signal", and the screen went black, and the light turned yellow. But when I pulled the cable out of my monitor, it said "no cable connected" (implying that it somehow registered the connection prior to that?)

So, I read about holding down the option key to detect displays, but that didn't work. Putting the laptop to sleep and then waking it up didn't work either. I also tried connecting the adapter to a DVI/VGA converter I have, but they don't fit together. I even tried connecting the adapter directly to the DVI port on my monitor, but they didn't fit together at all.

I get the impression it should be possible to make the Macbook and monitor work together, but I'm stuck figuring out what exactly needs to be fixed. Probably the adapter or DVI cable, though. Do you have any suggestions?