nihil not surprising there is no AGP slot, the AGP is built-in for the integrated video thus not available for external cards.

How did you install it?
The choice of PCI slot is important. The board has three PCI slots, how many are used? PCI slots are usually shared, one shared with the onboard VGA, which is the one you want to use.
If you have devices, such the modem, which are not being used I would take them out and remove the drivers for them.
Your manual should tell you which PCI slot to use for the video, but should be one most inboard, closest to the processor ( maybe )


With something like this you have to make sure ALL the previous drivers are removed from the system.
I normally would:
remove all video drivers from device manager
restart, reset integrated video in bios
shut down machine, remove old add-in card
restart in VGA mode ( do not let it install drivers for video )
look for ghost devices still lingering and remove them
see this link, finding hidden devices
( do this as administrator, and don't forget to check "Show hidden devices" after you open the device manager from the command prompt )
Also, remove the old integrated video driver and AGP drivers!
note: you can also use third party software, such as Driver Sweeper
but afterwards I would restart and use above method to make sure they were gone )

Shut down and install the new video card.
restart, go into bios and turn off integrated video
( don't forget to move the video cable! )

restart, then install the new drivers. check with System Information and see if there are any conflicts with the new drivers.

Also check to make sure the monitor is properly configured and you are using modes which it supports!

One last thing, you say you upgraded DirectX. XP only supports DirectX 9, which is what the game calls for. Unless you want to try out hacked versions of 10 I would make sure the latest version of 9 is installed.

If that doesn't work, well, ....