It depends on the screen. For some, you can go to System Preferences, Monitors, and you can control the brightness there. Sometimes, if a monitor has a monitor connection (like the Mini DisplayPort) and also a USB connection to act as a hub or something else, you also need a USB cable connected for this to work.
But for other monitors (mostly?), You have to use the on-screen controls to adjust the brightness or something at all. You can not use any control on your Mac to do so.
It may also depend on how you have connected the monitor. If you make a mistake using a converter to convert to HDMI and then connect the monitor that way, you may not have checked it in System Preferences, but if you use the usual way (Mini DisplayPort, sometimes Thunderbolt) to connect screen you may have these controls. Or you may not have them in either case. Then you only need to use the screen controls.