topshatter you have to open the dxinstall.exe or install.exe or something like that in the files you downloaded so it installs them.
AeRrOw try downloading .NET framework 2.0 from here:
diversao, read the main post fully, you need the correct directx version to run it.
jizzypimp, i have no idea does it work on sp 3, just try it.
jasone101, try downloading the .NET framework from the above link, if it doesnt work, download this: