depends on what you're trying to convert. if it's an RCA signal (as in the yellow coax cable), a vga-to-rca converter would work, like this one. or you could get this and this. both get you a standard-def experience. if you've got a component kit for an original xbox or don't have an hdmi-enabled current system, or only have a vga-based monitor, get this. if you want a next-gen console plugged into a monitor, you can just get an hdmi-to-dvi converter and plug it straight in, no changing required. don't forget to get a female rca audio (red and white) to female 1/8th inch plug for your audio out from the console to your desktop speakers or volume-adjusted headphones.
note that if you need to go from vga to dvi, there's a lot of cheap gender changers available online. i have six or seven sitting around from graphics cards i've bought in the last few years.
this will, however, only work on a normal monitor - a laptop monitor doesn't have an 'in' connection that it can take because of how it's been designed (unless it's a specialty laptop...i don't know macs all that well). if you want something that'll allow you to play on your laptop, you'd need a usb-based capture device. it's a different thing, and they can be really expensive. there's also lag time between the capture and when it actually happens, so you can't use it for real-time gameplay.
edit: i should point out that i really do suggest buying from monoprice. they're cheap, their shipping is super cheap and pretty fast, and although it looks like a hack site it's got a lot of really decent-quality stuff there. will you get monster-quality cables there? no. but you will get what you need for pretty cheap, and they're pretty good quality. i've bought all my home theater cables from there, and i really like the quality of stuff i've gotten.