Jonny,
Yes the 845 GL chipset doesn't support external AGP card. If you want AGP graphics card it is better to sell off this board for whatever it is worth and buy a board with AGP slot.
Since you are anyway going to get a new board, it is better to go for a board based on 865 PE chipset if you don't want onboard graphics and if you want onboard graphics too, you can go for a mobo based on 865 G chipset.In my views PE will be better, as you are going to get a graphics card anyway.
Do a little research and find out the board you want depending on the features you will prefer. I would say it is better to go for a board which offers good onboard audio, SATA in addition to usual PATA, USB-2, firewire,wi-fi,lan etc. to make it futureproof. You can get mobos from many manufacturers as ASUS, INTEL, MSI, even murcury (cheaper)will also be having something in this line. It's just a matter of a little reasearch. You should be able to get the board in the range of 4k-6k.
You can skimp a bit on your G card a bit for now and go for a GF4 FX5200 based card with 128 MB DDR, which may cost you about 4K.
I hope it helps.