the power supply is not enough to power up the card.
Exactly what happened to me when I upgraded from 9500gt to a gts250. Try switching to a hd 6570 or a hd6450.
you don't have to change gpu through bios. if you plug-in your monitor through the graphic card, it will change automatically.
if you can change the psu of DX4860-UB32P..I think that would be a better option.