yes, what the hell is a very good question, but i think you made a good discovery. if it does that, it might be telling you that you do not have enough power from your power supply to power the video card.
what is the wattage rating of your power supply? there should be a sticker on the side of the power supply to tell you this. is it possible for you to test with another power supply?
if a store allows you to return items you could buy a cheap power supply to test with and return it. get at least 300 watt or higher power supply to test.