You can try
Control Panel->System->Device Manager->View->Devices by Connection
And look for Graphics Card in the list, it's parent will tell you where
it is connected. (For eg. my Nvidia Geforce 8600GT connected to
Intel(R) G33/G31/P35 Express Chipset PCI Express Root Hub (so it is a
PCIe card))
If your video card is AGP, you will have to choose View->Devices by Type.
For example on my system shows...
Display adapters
|_ ATI Radeon HD 2600 Pro AGP