A good 400W PSU could support a GTS 250, assuming the rest of the system didn't use too much power, but that looks like a crappy 400W PSU. If your CPU is a 95W or less model and you don't have much else in your system it's possible that CPU will be just fine. Of course, even then, that cheap PSU may not be able to sustain your system when gaming and that could lead to instability. Best case, it works fine. Worst case, your PSU is a POS, blows up, and fries the rest of your system with it ^_^.
It's Up to you. If you want a decent GPU then you will have to upgrade your PSU to something reliable and I would also be looking at a Radeon 4870 or 5750 as they are often a better value than a GTS 250 (except when the 250 is on sale for $90 or less). If you don't want to replace your PSU, then the best you can do is probably a reference Radeon 5670