Hi lord_cedrich, welcome to itsallPC

There should be no compatibility issue between your graphics card and motherboard, unless it is board manufacturer specific (the fault of the people who manufactured your FX 5200, as opposed to NVIDIA who just made the FX 5200 core). I highly doubt this.

Make sure the card is properly inserted. The P4B has ASUS's standard AGP retention clip that needs to be opened before you can properly insert the AGP card. Once the card is inserted it will snap into place, preventing the card from falling out, or even being pulled out without the clip being released. This gives some resistance when inserting the card - a lot of people are afraid of damaging their system and are too gentle with it.

If you were previously using integrated graphics, please do make sure you plug the VGA cable into the FX 5200. Ordinarily, the system BIOS will automatically detect an external VGA controller and boot off that, or fall back to integrated. Sometimes it's possible to configure the system to always boot off integrated VGA, so if you go ahead and plug your monitor into the FX 5200 only to get no image, check that it didn't instead boot off integrated.