When you booted up for the first time after putting card in did Windows "see" the new graphics card and did the new hardware wizard start? Do you have XP?
What did you graphics card did you have in before (or same card) or were you using onboard graphics.
Go to Control Panel, System, Hardware, Device Manager, is your graphics card in there at all?
And if yes has it got a question mark/exclamation mark?
Have you checked that the card is physically seated in the AGP Slot. Worth checking this.