Send it back
I'd send it back if I were you, anyway. My bottom line is you're probably not going to get what you want out of that card. The 6200 line is the very bottom end GPU NVidia offers with 1/2 the pixel pipelines and only 3/5 the clock speed in general of the next model up - the 6600. Their intent for that part wasn't gamers at all, but integrated graphics for motherboard makers. It would still be a great improvement over typical onboard video chipsets.
At a minimum, I'd look at a card in the Nvidia 6600GT or 6800 line. I know those are probably in the neighborhood of two to three times what you paid for the 6200. I have a 6600GT in my "gaming" desktop now. With it (on an Athlon 64 3200), I can run most games on their medium to high quality settings at a 1280 x 1024 resolution or 1024x768. 6600 GTs sell for about $140 plus shipping at newegg.com. That's with 128MB of DDR3 RAM. The lesser memory won't stack up poorly against the 6200 with 256MB. It's not the amount of memory you have that's the problem, but the speed at which you can get things in and out of it.
If $140 sounds too high for a machine you're considering replacing, I'd say that you've just found a reason to bump up that timeframe. If I was building new, it would be some version of the 7800 that I would use.
Case: Enermax CS-A106USB
P/S: OCZ OCZ700GXSSLI 700W
Motherboard: ASUS P5N32-E SLI
CPU: Intel E6300(idle 35C/load 39C)
RAM: OCZ Platinum Rev 2 DDR2 800 MHz (4 x 1GB) 4-4-4-15-T1 (2.1v)
Hard Disk: Seagate 2x250GB SATA ST3250620AS in RAID1
Monitor: Mitsubishi DP900u
Graphics: BFG GeForce 8800GT PCI-E
Sound: SoundBlaster X-Fi Fatal1ty
Speakers: Klipsch ProMedia v.2-400 4.1 speakers
Optical: LiteOn 16X DVD-ROM; Sony DRU-710A DVD-RW