Have you tried updating the graphics drivers to the latest version?

Intel 82865G Drivers

Integrated graphics aren't the best for much by a long shot. OK for general computing (Word Processing, web viewing, little bit of photo editing) but take it beyond that and you're asking for trouble.

That motherboard is pretty old now, but I'm sure you could pick up a pretty decent AGP graphics card quite cheaply. The integrated graphics of that board only support DirectX 8.0 by the looks of it. DirectX 9.0c is the latest version for AGP now.