'Converting' like this cannot be done.
The reason the MacBook Pro DVI output will also 'convert' to VGA is that it's actually two sockets in one.
Look around the + shaped pin at the end of the MBP socket, there are 4 extra pins which aren't normally present on a DVI socket. These are actually VGA in disguise. When you use your DVI-VGA adapter with your MBP, it's literally just taking those four pins and wiring them differently into a normal VGA connection.
VGA is an analogue signal (it's actually component in disguise), and DVI (the normal type) is a digital signal. Converting between the two essentially requires a picture processor and appropriate modulator/demodulator which can get VERY expensive. Think of it as a TV without the actual screen (all the internal 'picture processing' gubbins).
HDMI and DVI are actually both connection types, not 'types of signal', in much the same way Scart isn't actually a way of transferring picture/sound, but Composite or RGB is.
As far as video goes, HDMI and DVI carry uncompressed video, and an assortment of audio types such as PCM (what CDs use), AAC (what's more often than not found in DTS and Dolby Digital).
