Are you shutting down all non-essential programs (especially anti-virus) before trying to install the game?
Assuming you have some version of DirectX installed already, if you run dxdiag (click Start | Run, type in dxdiag and hit Enter), does it report any problems?
Do you already have DirectX 9 installed? If so, you should be able to just skip the DirectX install during the game install.
If you don't have DirectX 9, try
downloading and installing it first, then reboot and try the game install.
If installing DirectX separately gives the same error, try searching MS' site or Google with the exact error, and see if there are any known causes and solutions you can try.