The 9500gt is a pretty low power card but it sounds like when you try to game it's asking for more power than the PSU can handle. That you are using a P4 says your system is old and PSUs tend to degrade over time. So if I had to guess I'd say it has reached the point where it can no longer power the card properly.
You could replace the PSU but this may be a good excuse to build a new system. For under $500 you can build a system several times better than the one you have now.