Hi SRX660
That particular board WILL support AGP 4x cards. Basically, the limitation according to Intel, is that it only supports 1.5V AGP cards, so no 3.3V and no 0.8V only cards. Most 8x agp cards will support dual voltage i.e 1.5V & 0.8V (although a few cheaper ones may only support 0.8V). All 4x cards however will be 1.5V so they should be fine to use.
I suggest you try the usual procedures of removing board from case to rule out shorting, remove all components except cpu, hsf, one stick of ram & video. Clear bios. Reseat the video, try different ram & different ram slots. Make sure system speaker is connected
If all else fails, boot it up with only the cpu/hsf installed (i.e no video, no ram) and listen for beeps. If no beeps then either board or cpu broken or the two are incompatible.
Also, may be worth trying a different PSU.
I noticed the board also has a bios setup config jumper (J9H2). Positions are :
Short pins : 1-2 - normal, 2-3 - configure, no jumper - recovery
May be worth playing with this as well. Configure (2-3) means that setup runs automatically & maintenance menu is displayed (assuming you have video display obviously!)
recovery (no jumper) requires a recovery boot disk