If you're having this much difficulty installing a video card you should probably just pay a computer store to install it for you for $20. I can't believe someone suggested you build an entire computer when you can't figure out where the agp slot is. you are either extremely cautious or want someone to handhold you through this procedure.
If you bought a new video card there should be a user guide with pictures and diagrams showing you exactly how to remove your old video and install the new card. if you are using winXP turn off your PC, remove your card, install the new one, turn your pc on, winXP will detect new hardware and a wizard will guide you through installing new drivers. put your driver CD in the cd-rom and tell the new hardware wizard to search on your cd-rom. you can also cancel the wizard and put your cd in and there should be a program that will autorun to install your drivers.