And are you sure you don't mean FX 5200 And Sh4? The GeForce 6200 should have no problem with any 'Silent Hunter' title (well, it'll be slow in '4', but still work). The FX 5200 will work with Sh3, too...not so sure about Sh4, though.
In any case, you probably have your power options set to "Minimal Power Management" or something else that allows the system to throttle the CPU down when not in use (AMD called this "Cool 'n Quiet" or "PowerNOW" depending on the CPU brand). No need to disable this, as it will kick up the CPU power for when you are actually playing...but if you DO want to disable it, just open Control Panel, choose "Power Options", and set it to "Home/Office Desk" or "Always On".
(EDIT: Actually, if you WERE talking about Sh3...and did have a GeForce 6200...it's entirely possible the pre-game detection wizard is detecting the card all wrong. I seem to recall it did the same for my Radeon X1950 Pro. Basically, the game was just released too far before the advent of some of these newer cards, and so it doesn't properly report their status. In which case the game should actually work just fine.)
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