What adapter are you using? If you're using the mini displayport to VGA adapter from Apple - Apple released a firmware update for this adapter - while you have everything plugged in and turned on, try using Software Update to see if your adapter requires that update.
When you use the Detect Display button, you do not see a 2nd window for the Pico? Try moving the first window to see if it's hiding behind it.
While it's all connected and running, is there an Appearance tab in the Displays preference window?
If there is, put a check in the Mirror Displays box at the bottom.
If there is already a check, remove it.