Do you see something that looks like the slot that is highlighted with a red box in the below image (the said slot, as the label indicates on image, is called AGP slot)?
If so, then you have a usable grahics card, as I see that the card you bought is for an AGP slot.
I have never heard of a retaining clip. I have only simply plugged new card into slot while keeping in mind to properly align card with slot hole and it worked fine.
Driver of old integrated video should be automatically disabled usually, but you might have to disable the old drivers if computer/OS does not do it for you automatically.
Let us know how it goes.
2x3i5x