Oh. I see. Looking around, it seems the problem is common, and apparently the way to fix it is getting the DirectX End-User Runtimes (June2010) package (link to Microsoft’s download page) which actually installs additional DirectX stuff that’s not in the main packages. I may have not found that problem due to something along the way requiring that and having it installed beforehand.
It should fix the problem. If it does, I’ll make a note on the game page.