There are two main ways to connect a computer to a data projector.
My preferred way is to have a video card with two outputs, which gives you the flexibility to display the same thing on both screens, or different things on each. This is how we use PowerPoint at my church; the PowerPoint show displays on the data projectors, but on the monitor you can edit the show, even the currently displayed slide.
The easier option is to use a VGA (or DVI) splitter or switch. VGA is the term for the video output from a computer (Video Graphics Array), although DVI (Digital Video Interface) is the newer standard. At any rate, you have the option of a splitter or a switch.
A splitter takes the output from your computer and displays it on both the monitor and the projector, usually amplifying the signal as well so that it doesn't get too dark. A switch allows you to change whether the computer output is displayed on the monitor or on the projector. Splitter amplifiers range in price from $20 to $200 or so, while switches are usually cheaper.