To be a bit more specific, you need the latest version of DirectX 9.0c (or at least the version included on the DVD). DirectX 10 and 11 are not fully backward compatible with 9, and 9 is not installed by default in Vista/7.
Try disabling HDR lighting (see
HDR settings). That fixed this problem for a couple people, though one person did have an issue disabling HDR lighting from the options, and needed to edit a configuration file.
Try running the game as administrator and (in Vista/7) disabling desktop composition in the compatibility options. That has help some people with different graphics problems.
First Aid Kit for Divinity IIFirst Aid : when Div2 does not start or crashes