If you're going to stick with your current machine, then you'll need to resign yourself to the idea you're not going to get a Windows rating experience of 5 or higher. Socket A cpu's, AGP graphics cards and DDR 400 (pc-3200) just isn't strong enough.
You can improve your game performance, but would it be worth the cost? The very best AGP card you can get these days is an ATI 4670 for $125.00. Newegg.com - HIS IceQ H467QS1GHA Radeon HD 4670 1GB 128-bit DDR3 AGP 4X/8X HDCP Ready Video Card
If you had a PCI express capable motherboard, for about that same price you could get an ATI 5770, which is leaps and bounds beyond the 4670, and certainly the 5200 you're running now.
It would also help to have 4GB's of RAM, but again, DDR is just so expensive relative to DDR2 and DDR3 that you have to really question whether it's worth investing so much into such an old machine? The cheapest 2GB kit of DDR 400 Newegg has is $70.00, which is about the same price as a 4GB kit of 800MHz DDR 2, and only $10.00 less than a 4GB kit of 1333MHz DDR3.
Compounding the problem: the 2GB DDR 400 kit will most likely not be the same as the kit you've got, and mixing memory always leads to problems. You may luck out and already have value RAM installed, and if that's the case, you may get off relatively cheap, but if you have to match a higher rated kit, then it will become pricey; much pricier than if you were to get DDR2 or DDR3.
In the end, even if you do decide on a faster AGP card and more RAM, where will you end up? They don't sell socket A cpu's anymore, mostly because they stopped making them a long time ago. Sure you can find one, but it won't be that much faster than the one you've got: Buy.com - AMD AXDA2800DKV4D AMD Athlon XP 2800+ 512KB 333 MHz
. At $100.00, that's a stiff price for a really low jump in performance... especially when you consider that that's actually more than quad core AM3 cpu's: Newegg.com - Computer Hardware,CPUs / Processors,Processors - Desktops,Socket AM3,Quad-Core