Maxx, it looks to me as if you know what you need to do. The integrated graphics are the weakest link in the chain and you will get the biggest possible boost to gameplay by adding a graphics adapter in that PCI x16 slot. If you see the other thread where we are talking about the latest and greatest graphics chips, you will see that now would be a good time to pick up a "older" graphics chip where older is 6 - 9 months. An ATI Radeon 3850 or 3870 series GPU or a GeForce 8800 or 9800 series GPU. This will also save you money as the top end cards would take the whole $500 budget and probably create too much heat.

The other places to upgrade are RAM and CPU. You have enough RAM, and you can't squeeze much more out of Vista 32-bit. A CPU upgrade could help, but not nearly as much as the graphics adapter. Also, a pre-built system is always difficult to upgrade. It may not have enough power in the PSU, it may not be able to draw off the heat of a combined CPU and GPU upgrade, it may not have enough space for a big graphics card or a better CPU cooler.

Power supplies all conform to the ATX specification, so it's just a matter of how much power you want. Anandtech has good reviews on power supplies, so there you can find info on good efficient supplies. As for the CUP, it's doubtful that you would notice much of gain with an increase of only 500MHz, so you may want to wait a bit on that upgrade. Since you are running a 32-bit operating system, the maximum amount of RAM you can have is 4GB (only about 3.2GB will be usable by the system). Seeing as how you already have two Gigs in there already you may want to just get 2 * 512MB (a 1GB kit), assuming you have two open slots for RAM.

Kind of a coin flip on that one, but if you can't get any more RAM into your system it's probably not worth the effort.