The other thing it could also be is the Video card in your computer. It may not have the drivers to support DirectX 9.0. You can check your DirectX version as stated in this post:
http://forum.mtu.com/showthread.php?threadid=1787
Then you will need to find out what the Video card is, and update those drivers. You can find out the Model and Manufacturer under the Display Tab in the DirectX Diagnostic Tool as listed in the post that I refer to above.
If you post this information we will beable to help you get the latest drivers to see if that is the problem.
Also as Jaddams stated, what CD-R drive are you using? This can cause the problem.