That's very odd. You're right - it is DirectX and we've tested on a vanilla Windows 7 machine pre-DirectX.
Apparently this issue has been seen before on other games.
Please follow the advice in
this link and let us know if it resolves the problem.
In case that post disappears, the solution appears to be to install DirectX from
here, and the problem appears to be some kind of faulty DirectX installation.