Well, I finally got it working and I'm a little embarassed about what I was doing wrong. Just in case it will help anyone else though. Here is what I had to do: UPDATE MY DRIVERS. Yes that's right just like everyone said.

What I had done wrong though was download the updated drivers from NVIDIA, run it and then I didn't follow the steps in the read me and force it to actually update itself. As a result, it just pulled in it's same old driver from the Windows/System32/DRIVERS folder instead of pulling in the updates I had just downloaded. Pretty stupid huh?

For others with NVIDIA GeForce 4 MX video, The latest driver is:
nv4_disp.dll 6.14.0010.5672 dated 3/24/2004.

You NEED this update to run this game because apparently that is when they
added the DirectX 9 support. It is available at the NVIDIA website (www.nvidia.com) from the downloads tab. (I'm sure most of you know that but there are a few people who aren't familiar with this stuff)

Thanks again to everyone for responding and I apologize for wasting the forum's time and space because I couldn't follow the instructions in a read me file. I hope my idiocy helps someone else.

Lewis H.