Firstly - DON'T INSTALL WITH POWER ON!!! Dangerous to both you and the card!
A silly question, but does the card need a power source (normally one of the molex plus) and if so, have you actually plugged it in? I'm not trying to patronise, but I made this mistake once!
Do you need to disable onboard graphics in BIOS first? Or tell BIOS to use AGP slot for display?