As I recall, long ago when I installed that game on XP, there should be an option to continue the install despite the DirectX errors, and then you may have to run it using the XP compatibility mode for Win95/98.
Check with Google to see what other people have done to get it installed. I can say that it's a pretty good game, so worth a bit of effort. Graphics are nothing too special, and they really went overboard on the zombies, but the Thief series has always been rather refreshing. It pretty much started the whole stealth action genre, you get to play as an anti-hero, you have to think and plan your moves carefully since you'll get slaughtered in full on combat and only have a limited number of items, and there's usually at least a couple of levels where the only real goal is just to rob some place blind.
I have a copy of Thief Gold from EIDOS - and have attempted to load it onto my PC that is running XP. The game tries to install but will not continue... stating that the installed version of DirectX is only compatible with Win95 or Win98. The version of DirectX that came with the game was 6.0.
I attempted to download DirectX Ver. 8.1 (oldest compatible version of DirectX for XP) and attempted to reinstall... with no success.
Finally, I tried to look for a patch... but as the game is older (no surprise), I found no such patch that would specifically adress this issue.
Can anyone offer a suggestion for how I can load and play this older game on an XP machine?