hmm, it depends
1: u cannot install Athlon over Celeron, (assuming as you havent mentioned changing motherboards, so you might be thinking to replace celeron with Athlon)
2: YES, the processor does play a major role in Graphic performance, as if your VGA is built in, most of the work is done by processor, even your VGA has seperate GPU, still CPU does have to work, but not that intensive as it would have done on On-board VGA.
so changing Into Athlon from Celeron will bring noticible graphics difference in speed (may not in graphics quality). what do u think SSE, SSE2 on CPU are for?
Intel Core2Quad 2.66Ghz 12MB L2-Cache
4096MB DDR Kingston Hyper-X
XFX 9600GT AlphaDog
Seagate 2 X 320GB SATA2
LG L246WH Flatron 24"