Issue connecting to Dell Monitor

I recently purchased a Dell UltraSharp U2913WM Monitor. I am having trouble connecting my MacBook Air (Early 2014, running El Capitan) to it. I have tried Mini-Display Port and DVI-D cables. I am going to the menu on the monitor and manually selecting each port to call. However, it keeps saying that "No [insert port name here] The display will go into Power Save Mode in 5 minutes."

I can get the VGA cable to work- however, the display is pretty blurry. It finally connected after I restarted both the computer and monitor.

Any idea what is happening? I have no clue what I am doing incorrectly.