It sounds like you do have and AGP slot on your motherboard, but the onboard video makes use of the AGP bus as well. AGP is single target/single master, meaning you can only have one AGP device running on your system. Most (if not all) motherboards with onboard AGP adapters will disable them when they find another adapter in the AGP slot. Here is a link with a short AGP overview
Your best bet, if you want dual displays, is to either invest in a dual head AGP card, or add a PCI video card to the system. PCI video cards are multi-target/multi-master meaning you could have as many as you wanted. Personaly I use a Matrox G450 dual head, but I don't do much 3D stuff.