If the card was just ordered you could exchange it for a new model. The HD 2400Pro and 2600Pro models are AGP as well or at least one of the X1xxx AGP models. The X850 was the best in that series for gaming.
The latest information I saw when seeing what models were supported when first getting the newer PCI-E model was X1xxx series models and HD 2xxx series DX10 cards. ATI goes through cards faster then NVidia telling me that the 7 and above catalysts are too new for that model despite what somepne at ATI recommended.
Those may be for Vista not XP. I ran into that with the X-Fi Xtreme Audio then Xtreme Gamer where the auto updater and even MS update site saw Vista drivers go on XP. That was seen when XP was selected as the version. I suspect this is why you are having that mcuh trouble getting them to go on. Either too new for that model or for Vista sounds likely.