I would like to use my laptop screen and 2 external monitors independently. I have tried using a VGA splitter, but it did not work and someone told me that an HDMI VGA adapter won't work. How can I do this?
You would need to check the capabilities of your laptop graphics card to see if it can display your laptop screen and both the external VGA and HDMI simultaneously to duplicate or extend your desktop.
I have a funny feeling that you will only be able to use, at most, any 2 displays/outputs - not the 3 you desire.
laptop LCD + VGA (no HDMI) OR laptop LCD + HDMI (no VGA) OR VGA + HDMI (no laptop screen)
A "splitter" of any kind will duplicate the output - you will not be able to "extend" your desktop across screens. You need independent outputs to achieve this.