How do I install DirectX?
If you don't have DirectX 8.1 or above, you can download the latest Direct X version from: Microsoft Updates
Select the version of DirectX that corresponds to your version of Windows (Win98Se, WinMe or Win2000).
To install DirectX, follow the instruction provided on the same link.
Note: You also need to download Microsoft's Digital Video Update for DirectX 8.1 from Microsoft Updates. This update provides PAL support.