If you are getting that when attempting to install DX9, you have some serious problems.
Make sure you have Administrator privileges befoer installing DX9. How are you trying to install it?
Are you using the MS Updater?
If you are using the MS Updater and have Admin privileges, then I would say you pretty much are looking at a reinstallation of the operating system.
EDIT: There is one more remote possibility. You have some very old drivers somewhere that DX9 cannot get to register thus causing the installation failure. Could be video, sound, input drivers.