Monitor goes blank when data projector turns off

This is a bit of a strange one:

o Compaq iPAQ in our meeting room
o Long monitor lead split at the end with a y-splitter
o One plug into Sony data projector
o Other plug into Dell 15" LCD monitor

When the data projector is powered up, the LCD also works. However, when the
data projector powers down, the LCD also goes off. Power the data project
back up and voila, the LCD comes back on as well. Alternatively, unplug the
data projector and the screen comes back on. It's almost as if the powered
down but connected data projector is convincing the PC that there is nothing
connected.

What's weird is that it used to work fine, i.e. we didn't have to turn the
data projector on to use the screen. But then the data projector conked out
due to a faulty power switch. In the mean time we switch to an ancient
projector we had. The problem started occurring when the replacement part
(new switch panel) was installed.

We have since ordered a brand new Sony data projector (same brand, different
model) and the same thing happens.

Any ideas?

Thanks, Rob.