I use this feature once a month. I agree with erisalit32, it is easier when the projector is already connected to the computer. However, last night, I was able to plug it in to the computer after I was already in windows XP. My screen resolution was 1280x1024 and the projector matched up to that resolution. Older projectors will not be happy with differing resolutions. In that case, you will need to hit the Fn key one time to black the LCD screen on the laptop and only use the projector. Or your laptop and LCD might have to be at equal resolutions (ie 800x600 maybe) to use both at the same time.
sometimes, I have to wait a few seconds before hitting the Fn key combination a second time so that it will work.