It is useful to have a VGA card because most integrated sets are not meant for gaming, and perform poorly.
To install one, simply open the PCI-Express bracket, or clip, and insert the card firmly.
The best card is the HD5970, priced at $600. These are the top cards per price area.
$50 HD4670
$100 GTS250 (4850 is $120 now, I believe)
$150 HD5770
$200 HD4890
$300 HD5850
$400 HD5870