In addition to the power provided by your pci-e x16 slot, the 8600gts will need supplemental power provided from the power supply itself. Have you provided that additional power to the card.
The plug in to the card is shown here:
Ok good. The E520 has four diagnostic lights on the back of the machine. Reboot. After the machine completes booting to your desktop what are the lights indicating?
Compare your results here:
Cheah is also correct, if the video card is not firmly seated in its pci-e x16 slot, it may not function properly. Also check your data cable running from the card to the monitor. Make sure the cable is securely fastened (finger tight). You might also try using the vga port instead of the dvi port on the video card.