That message indicates the sound card failed to initialize.
Either you have an older version of DirectX (we need DX8.1 or later), or the sound card driver is not responding.
You can use DXDIAG to check for gross errors, From the Windows desktop, go to "Start", then "Run", then type in DXDIAG and press
.
From there you can run some simplistic diagnostics. Select the "Sound" tab and run the sound tests. If the sound tests fail, make sure you have the latest drivers for your sound card device loaded and run it again.
In the "System" tab, check the DirectX version, located at the bottom of the panel (not the DXDIAG version, but the DirectX Version). It should be "DirectX 8.1 (4.08.01.0881)" or later.
If it is not, then go to the Microsoft DirectX site and get the latest version.