Now I'm very confused about this AGP thing... from Intel's website:

Products Desktop Components Desktop Boards D845GRG
Form Factor microATX (9.60 inches by 8.20 inches)


Processor Support for an Intel® Pentium® 4 processor in a µPGA478 socket with a 400/533 MHz system bus
Support for an Intel® Celeron® processor in a µPGA478 socket with a 400 MHz system bus



Memory Two 184-pin DDR SDRAM DIMM sockets
Support for single-sided or double-sided DIMMs (DDR 200 and DDR 266)
Support for up to 2 GB† system memory



Chipset Intel® 845G Chipset


Audio Audio subsystem for AC '97 processing using the Analog Devices AD1981A codec featuring SoundMAX Cadenza


Video Intel® Extreme Graphics controller
AGP connector supporting 1x, 2x, and 4x AGP cards (1.5 V only) or an AGP Digital Display (ADD) card
Integrated retention mechanism



I/O Control LPC Bus I/O controller (SMSC LPC47M172 or National Semiconductor PC87372)


Peripheral Interfaces Up to six USB ports
One serial port
One parallel port
Two IDE interfaces with Ultra DMA 33 and ATA-66/100 support
One diskette drive interface
PS/2* keyboard and mouse ports
Three fan connectors



Expansion Capabilities Three PCI bus add-in card connectors (SMBus routed to PCI bus connector 2)

From Gateway's website (after inputting my computer's serial number):

Specifications


Features
Form Factor Micro-ATX
Processor Support for Intel Pentium 4 and Celeron processors
400 MHz Data bus
478-pin zero insertion force (ZIF) socket
Memory Support for 64 Mb, 128Mb, 256Mb or 512Mb technologies.
2 DIMM socket support for two double sided PC-2100/PC-1600 DIMMs.
Maximum system memory
256 MB (using 64Mb technology)
512 MB (using 128 Mb technology)
1024 MB (using 256 Mb technology)
2048 MB (using 512 Mb technology)
Single or dual-sided un-buffered DDR-DRAM DIMM configuration

Chipset 82845GL (GMCH)
82801 DB (ICH4)
82802AB (FWH)

Integrated Ethernet Intel® 82562ET (Kinnereth) 10/100 Mbit/sec Platform LAN Connect (PLC) device
Audio Chipset 1981A Integrated Digital Audio codec. (Analog only output jack)
I/O Controller LPC Bus I/O controller (SMSC LPC47M172)
Integrated Video Intel Extreme Graphics (No AGP slot)
LBA Support for 48-bit Logical Block Addressing (LBA)

Gateway doesn't name the board itself except by it's Gateway part number - my computer system info is telling me it's an Intel D848GRG.
Notice Intel says I have an AGP slot and Gateway says I don't.. which is it?? If I visually look at the board where would I look to see if it had one (I know they're shorter and brown, but not where they are)?
And what is the difference between an AGP slot and an AGP interface capability?
I think this is why I was confused and assumed that my computer would take an AGP card.

Other than that, I'll definitely take the advice to upgrade my memory and power supply and see what difference there is. I don't think that my games are running that badly, except for slow loading times sometimes, but of course I can't tell what the potential would be for better performance without actually doing the upgrades! The only game I can't play is Thief 3, and this apparently is because I don't have Pixel Shader 1.1. This was one of the main reasons I was going to upgrade the card in the first place, as I understand a few other newer games require this as well. Fortunately not BD, but who knows about future sequels!