So, you shouldn't have bought that projector. That's pretty much what nobody has said to you, and I'm sorry I'm the one saying it.
There is no good way to go from digital (HDMI) to analog (VGA). With older projectors you may also have issues with the resolution you are trying to feed the projector.
That said, if you get a HDMI splitter like this one, it may remove the HDCP (copyright protection) and allow you to then use an active HDMI to VGA converter.
Beware, this may or may not remove the HDCP...
Then a HDMI to VGA adapter...
If that's like what you have, then there are any number of things to check...
1. Make sure the video output of your game system or BD player is set to 720p or 1080i. This projector does not accept 1080p in ANY format.
2. Maybe try a HDMI to component video adapter.
You will need a VGA to component video adapter as well..
If none of this works, but hooking up a PC works, you may want to try some other services or options, like running Plex and downloading some videos for playback from a laptop through the projector.
At the end though, this projector is a 13 year old design that was already lacking digital inputs when it was produced. It was inexpensive at the time and very low resolution (800x600).
I am hopeful you paid next to nothing for it, but if I were to make any recommendation, it would be to hook up a laptop and not spend any more money walking down the wrong path with this model if you can avoid it. It just doesn't make sense. Try to get your money back and then try an entry level projector. Used W1070 projectors, which are amazing, are going for under $300. They will, in all honesty, really blow you away with a 120"+ image in a dark room.