Make sure you read the IMPORTANT DOWNLOAD INSTUCTIONS on the microsoft web site. It's much eaiser to do it this way then to let it install on your system from the site
IMPORTANT DOWNLOAD INSTRUCTIONS
1. Click "Save" to copy the program to any directory on your computer.
(Or, you can start the installation immediately by clicking
"Run," though this option is not recommended).
2. Run the DirectX 8.1b download package.
3. Review the license agreement. If you accept it, you can continue.
4. Restart your computer by clicking "Yes" at the reboot prompt.
Microsoft DirectX 8.1b for Win 2k
Microsoft DirectX 8.1b for Win 98 & ME
DirextX 8.1b comes with XP so got to your disc if your running XP
Hope this helps.