See this similar question: Can a simple cable convert HDMI output to VGA?
The answer is that you can't simply wire up a connection from HDMI straight to VGA. HDMI does not contain any of the signals (analog ones) needed to drive a VGA monitor. So how does it work? HDMI to VGA "cables" are actually converters in the traditional sense, they use circuits to interpret the digital signal, convert it to analog and drive the analog pins of the VGA connector.
This requires power (some more than others, depending on the circuit design) which is why it has been observed that some Pi power supplies are not strong enough to use it with. Also, with great power comes great (heat spreading) responsibility. The power handling circuits on the Pi will heat up as a consequence to having increased demand. You will need to account for that and make sure your Pi is well ventilated.