Try it the first way I said it and if that doesn't work try this
You can also change it manually in the bioshock.ini file
here quote from the site
source:TweakGuides.com - BioShock Tweak Guide
The main purpose of Bioshock.ini is to hold graphics, audio, and gameplay settings.
This setting determines which API the game uses for graphics, and the only choices are DX9 (D3DDrv.D3DRenderDevice) or DX10 (D3DDrv10.D3DRenderDevice10). You can already select these within the game if they're available for your hardware. You cannot force DX10 mode in XP, nor if you don't have a DX10 graphics card in Vista. You also cannot force OpenGL (OpenGLDrv.OpenGLRenderDevice) mode as this is not supported by the game. Depending on which API is shown as being used here, you should check the relevant section further below as to which rendering settings will apply to the game."
So you would change D3DDrv10.D3DRenderDevice10 to D3DDrv.D3DRenderDevice
The bioshock.ini should be in Users\[Username]\AppData\Roaming\Bioshock
Unhide all folders to get the hidden app folder and when your done you can hide it again.This tutorial on seven forums shows you how Hidden Files and Folders - Show or Hide