Before doing anything else, you need to find out a bit about your hardware. If you don't know your chipset or motherboard manufacturer or graphics card, you need to find them. If you have a system from a big company, such as Dell or HP you should be able to look up your specific model on the company's web site and get most or all of the latest drivers you'll need from them at their support download pages. Try to download the latest drivers as the ones supplied with your system are most likely already out-dated even before you receive the system. Latest drivers always offer better stability and bug fixes and sometimes increase system performance.
If you built your system or had someone do it for you, you will have to find out what your graphics card and chipset are (assuming you don't know). If you know the specific manufacturer of the motherboard, search for its web site and see if it has any drivers available.
If it doesn't, or you don't know what company made the motherboard and chipset, go to http://www.cpuid.org and download CPU-Z - it's a very useful program which will tell you plenty of details about your system. It will tell you the chipset under the "Mainboard" tab. Once you have found your chipset you can do a Google search for the manufacturers web site. Common chipset maker's web sites include: http://www.nvidia.com and http://www.viaarena.com. Download and install the drivers once you find them.
Note that depending on the chipset, you may not need to install any new drivers. If you can't find anything, then XP is likely to have complete native support for it and an updated driver won't do much beside a slight increase in performance, if that much. This generally applies to older Intel chipsets more than anything else. You can also try the driver section of Windows Update, as it may have your drivers.
Time for graphics card drivers. There are a number of ways to easily identify your card. The easiest may be simply opening the computer case and looking at it. It won't be hard to find; your monitor will be connected to it. The second easiest way is to go to Control Panel (accessible from the Start Menu), System (click "Switch to classic view" if you're on XP) and click the Hardware tab. Then click device manager. Expand "video adapters" - that's your graphics card.
If it's an ATI Radeon, for example, go to http://www.ati.com and look for the latest drivers - for a Radeon series graphics card (the most common), you'll need the Catalyst driver.
If it's an nVidia graphics card, such as a GeForce, go to http://www.nvidia.com and look for drivers - you'll need Forceware.
If it's an Intel onboard solution, go to http://www.intel.com. Be sure to be specific with the model number when looking for Intel drivers. You should note that there's a very good chance your graphics drivers were covered by your chipset drivers if you're using an Intel solution.
Unless you still have drivers to install (miscellaneous drivers; any PCI cards you may have, look for manufacturers' web sites on Google or use any CDs you have), you're ready to install software and mess with settings.
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