I assume you mean AGP or PCI-e slot, not DVI. As far as not working, you probably need to enable it in the BIOS. If you connect using the onboard and go into BIOs, there will be an option somewhere ( if you have the manual look there, otherwise its a case of looing through all the settings), to change the primary output, usually between onboard, PCI, and PCI-e or possibly AGP. If you change this to PCI-e, all should be well.
If you can find out what your mobo is, can have a look see and try and find where the setting is
If you can find out what your mobo is, can have a look see and try and find where the setting is