The central university overseas the running of the various academic departments, including the Department of History of Art. The departments are responsible for organizing the courses of study that make up the various degrees, for providing lectures and seminars, and for examining students.
Most members of academic staff in the department will also be a fellow of a college, so there is a lot of cross-over between colleges and departments. As such, they share responsibility for teaching and learning and for supporting your academic progress.
Many colleges that do not have a fellow in the subject still accept History of Art students, so think first about what sort of college would suit you.