Well here are some problems:
1. Your Pentium may bottleneck your GPU
2. Yes you will need to upgrade your power supply, get a good 450-500watt psu
3. You need to make sure you have a Pcie 2.0 x16 slot for a GPU
Now as for a GPU, what is your budget? For $170 you can get a HD6870 which will play all your games nicely (may be bottlenecked by CPU), or if you are on a tight budget you could get a card for $119-129 like a GTX550ti, that will still play all of your games.
Hope this helps!