Mostly depends on the game. You would be better off asking in a gaming
forum and also specify the games you like to play.

RAM is cheap and I would go to the maximum that will allow
you to maximize the use of your present RAM, presume you
have two 256 MB DDR 400, get two more 1 GB DDR 400.

You need to confirm the processor speed and that you are using Windows XP
32bit (and not Windows 64bit.)

Recommended upgrades:

1) RAM  ---> 1GB or more

2)  Video Card --->  Hardware based Direct X version 9 compatible video card
-->  GeForce 6xxx or GeForce 7xxxx

Please note:  Vista will be releasing Direct X 10 and most video card out in
PC, or on the market, will most likely not be compatible.

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Y.

Go for RAM first.. that will speed up everything..

As mentioned, what games? Some are very heavily CPU bound, and others
are more dependant on the video card and RAM. There's a point of
diminishing returns with every upgrade, though. As in, can you really
tell the difference between 40 frames/second, and 60? And is driving a
higher resolution actually better, or can you no longer see what you're
shooting at?

If you've been having problems, please specify, and also mention the
game(s) you're having difficulty with.