Check the computer makers website in regards to the model of system you own, to see if you have an AGP video card or if the motherboard is making use of shared RAM in relation to having a built-in video chipset.
You can also open the case of your system, unless doing so will void any warranty. An AGP video card with be just that, a physical card you can see.
But, some motherboards do use a built-in AGP.
So your problem may also be that you do not have enough physical RAM for the video adapter, or the AGP speed is below what the game requires.
But if your AGP is greyed out, then it is likely you do not have a AGP video card. If you are able to open your system case and you do not know what you are looking for. Look inside the case for a physical card, that will be connected to your VGA (Monitor's cable).
If the monitor appears to connect directly to your motherboard, then you do not have an installed AGP card.
It is also likely - but not always, that your motherboard lacks the ability to add in an AGP card.
So the real solution would be to search online for your machines make and model number to get a specification sheet to see what you do and do not have.