Are you using the downloaded version of DirectX, or the copy almost always distributed with the game?
I am running on Windows ME, and I'm trying to install the newest version of DirectX (which is 9.0c). During the install it will get up to "copying files" and then an error, "Direct X did not copy a required file. Installation failed." And so I am stuck. The game requires at least 9.0, and any version of such is giving me the same exact problem. Any help is greatly appreciated.