PS2 VGA lead work with the PS3?

Is anyone here using the PS2 vga lead with their PS3? Only reason I
ask is because the lead comes with a CD and I'm not sure if you need to
load this CD first and then a game.

I'm happily using my PS2 scart lead and the cruddy composite that came
with it, but the XMB interface just looks sh*t. I think it's having
trouble displaying colour over multiple layers. The icons look fine
but the background is a dull grey. If I play some music, the
foreground icons go grey and the background has colour. I'm hoping the
VGA lead will sort everything out.

Thanks

Gamertag/Playstaion ID: Milbot

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