Ok, first off. The GeForce FX is better than the GeForce 4 MX. Its not actually a very good card. If your after a budget card, go for ATI. nVIDIA do make terrible budget cards (5200 and 5600), but they make good middle and top range cards.
Secondly, XP will always run on VGA graphics. The other graphics mode were in the DOS days which XP doesnt support.
Thirdly, installing the video card isn't all that difficult. Pop the case off and locate your old card (sat in the slightly bigger brown slot). Unscrew the screw, pull the old card out and put the new card in, screwing it back into place. Put the PC back together, boot into Windows and install the drivers when asked, and thats it!
If of course you have an onboard GFX card first, you will have to disable it in the BIOS (press F2 or DEL when it first boots, or whatever key it tells you to press).
Hope this helps