Do what the messagebox says
Install the August 2008 DirectX update or newer, and it will start working.
It's nothing to do with DirectX 8. It needs the August 2008 DirectX 9 update.
I've tried re-wording the error message about 3 times now and people still seem to get insanely confused about going to the Microsoft website and updating DirectX. If you've got any suggestions on how to better word this so people don't explode when they see it, I'm all ears