Has anyone tried connecting a games console to their monitor?

I’m looking at connecting my Playstation 2 to an LCD monitor with a VGA input, but I’m sort of stuck when it comes to choosing the hardware needed to be able to do it.

Is this what I should be going for?: http://www.amazon.co.uk/Gadmei-TV-Video-Games-Monitor/dp/B000FKP8YS/

I’m looking for an inexpensive solution, ideally £50/$100 or less. There are converters with RGB and component inputs, but will component make a big difference? It’s a PAL PS2, and there are hardly any games which implement progressive scan, so should I just go for one with an RGB input? Any help would be appreciated!