The minimal requirement to run the game is version DirectX 8.1B, but I highly recommend you run the game on DirectX 9.0C for Windows XP, or DirectX10 for Windows Vista. If you have not yet updated your DirectX, you can download the latest version at http://www.microsoft.com/
Alternatively, you may download older redistributable version at Download DirectX 9.0c (Jun 08) - FileHippo.com
if the newer versions doesn't work.
For more information about DirectX, you can read the documentary at All About DirectX