My PNY 8800GTS is not working properly.

Hello,
I bought a PNY 8800GTS recently, i went home unboxed it and then installed it on my Desktop. I turned on my computer went right to windows and started playing a game, well 10 mins after i started playing it my screen turns grey, i restarted my computer went to Windows and runned DXdiag and i found that he wasn't detecting the New video card and said i was still using my Old 8800GT. I did download the drivers and i was using Windows XP and the game i was playing wasn't graphically demanding so it didn't overheat. And i really needed help, using this card would be great, since it would replace my old 8800GT.

My specs are:
Case-NZXT Beta
Cpu-Intel Core2Duo E4500 2.80ghz
RAM- 1x2gb 667mhz (don't know the brand but i know they suck)
Motherboard-Gigabyte GA945GCM-S2L
2 Fans working and cooler is a Zalman Fatlity.
Thanks