I would suggest that you install one of the cards, boot into the OS, get it properly configured, and then install the second card. Trying to get both going at once could be painful.
I haven't messed around much with multiple cards since they were first supported in Windows 98, but at that time the primary display adapter defaulted to the PCI slot, even if an AGP card was installed. I don't know if that is still the case.
What cards and mainboard are you using? There may be a compatibility issue. For that matter, there may be a lack of power from the PSU. The more info you give us the better.