I also have a question!?!
I have a GF 5500, Sempron 2800 (1.7 GHz, I don't really want to overclock it), and 1024 MB of RAM. What should I upgrade first (even though I understand that it's best to upgrade everything, but still) – the CPU or the graphics card – so that Heroes doesn't lag on maximum settings?

I would say that in this configuration, the "weakest link" is the graphics card.
However, I have an Athlon 2200+, 1 GB of RAM, and a Radeon 9600XT, and I still experience some lag. It's not significant, but it's noticeable, especially when zooming in and out on the main map and moving the hero around. However, the graphics were set to "very high," 1024x768, and anisotropic filtering was set to *4.
The most interesting thing is that reducing the anisotropic filtering to *2 and setting the graphics to "high" didn't give a noticeable improvement. And even more interestingly, a slight improvement occurred after defragmenting the hard drive, or am I just imagining things?:confused:?