This is what I've got in the DXError.log file :
-------------------------------------------------------------------------
--------------------
[03/15/10 11:28:09] module: DXWSetup(Feb 4 2010), file: dxwsetup.cpp, line: 219, function: CDXWSetup::InitInstallEngine
Sections are not initialized.
--------------------
[03/15/10 11:28:09] module: DXWSetup(Feb 4 2010), file: psheets.cpp, line: 472, function: PreinstDlgProc
CDXWSetup::InitInstallEngine() failed.
--------------------
[03/15/10 11:28:28] module: DXWSetup(Feb 4 2010), file: dxwsetup.cpp, line: 219, function: CDXWSetup::InitInstallEngine
Sections are not initialized.
--------------------
[03/15/10 11:28:28] module: DXWSetup(Feb 4 2010), file: psheets.cpp, line: 472, function: PreinstDlgProc
CDXWSetup::InitInstallEngine() failed.
--------------------
[03/15/10 11:30:57] module: DXWSetup(Feb 4 2010), file: dxwsetup.cpp, line: 219, function: CDXWSetup::InitInstallEngine
Sections are not initialized.
--------------------
[03/15/10 11:30:57] module: DXWSetup(Feb 4 2010), file: psheets.cpp, line: 472, function: PreinstDlgProc
CDXWSetup::InitInstallEngine() failed.
--------------------
[03/15/10 11:45:18] module: DXWSetup(Feb 4 2010), file: dxwsetup.cpp, line: 219, function: CDXWSetup::InitInstallEngine
Sections are not initialized.
--------------------
[03/15/10 11:45:18] module: DXWSetup(Feb 4 2010), file: psheets.cpp, line: 472, function: PreinstDlgProc
CDXWSetup::InitInstallEngine() failed.
--------------------
[03/15/10 11:48:23] module: DXWSetup(Feb 4 2010), file: dxwsetup.cpp, line: 219, function: CDXWSetup::InitInstallEngine
Sections are not initialized.
--------------------
[03/15/10 11:48:23] module: DXWSetup(Feb 4 2010), file: psheets.cpp, line: 472, function: PreinstDlgProc
CDXWSetup::InitInstallEngine() failed.
--------------------
[03/15/10 11:50:26] module: DXWSetup(Feb 4 2010), file: dxwsetup.cpp, line: 219, function: CDXWSetup::InitInstallEngine
Sections are not initialized.
--------------------
[03/15/10 11:50:26] module: DXWSetup(Feb 4 2010), file: psheets.cpp, line: 472, function: PreinstDlgProc
CDXWSetup::InitInstallEngine() failed.
------------------------------------------------------------------------
And this is what I get in the DirectX.log :
------------------------------------------------------------------------
03/15/10 11:28:05: DXWSetup: ***** DXWSETUP *****
03/15/10 11:28:05: DXWSetup: WinMain()
03/15/10 11:28:05: DXWSetup: IsIA64(): not IA64.
03/15/10 11:28:05: DXWSetup: Unable to get Version on target file C:\Windows\system32\directx\websetup\dsetup.dll
03/15/10 11:28:05: DXWSetup: Installed file C:\Windows\system32\directx\websetup\dsetup.dll
03/15/10 11:28:05: DXWSetup: Unable to get Version on target file C:\Windows\system32\directx\websetup\dsetup32.dll
03/15/10 11:28:05: DXWSetup: Installed file C:\Windows\system32\directx\websetup\dsetup32.dll
03/15/10 11:28:05: DXWSetup: GetDXVersion(): Unable to get RC string from registry.
03/15/10 11:28:05: DXWSetup: DirectX Version: 4.09.00.0904.00
03/15/10 11:28:05: DXWSetup: Setup Version: 4.09.00.0904.00
03/15/10 11:28:05: DXWSetup: A newer version of DirectX have been installed already.
03/15/10 11:28:06: dsetup32: IsWow64(): not Wow64 process.
03/15/10 11:28:08: DXWSetup: CDXWSetup::CDXWSetup()
03/15/10 11:28:08: DXWSetup: CDXWSetup:

ownloadDXUpdate()
03/15/10 11:28:08: DXWSetup: OnEngineStatusChange(): EngineStatus = 0x1, SubStatus = 0x0
03/15/10 11:28:08: DXWSetup: OnEngineStatusChange(): EngineStatus = 0x3, SubStatus = 0x0
03/15/10 11:28:08: DXWSetup: OnEngineStatusChange(): EngineStatus = 0x2, SubStatus = 0x0
03/15/10 11:28:08: DXWSetup: OnStartInstall(): DLSize = 81, InstallSize = 0
03/15/10 11:28:08: DXWSetup: OnStartComponent(): ID = DXUpdate, DLSize = 81, InstallSize = 0, str = %DirectX_Setup%
03/15/10 11:28:08: DXWSetup: OnComponentProgress(): Phase = 0, Progress = 0
03/15/10 11:28:09: DXWSetup: OnStopComponent(): ID = DXUpdate, hr = 0x0, Phase = 9, str = %DirectX_Setup%, status = 0x0
03/15/10 11:28:09: DXWSetup: OnStopInstall(): hr = 0x0, str = (null), status = 0x0
03/15/10 11:28:09: DXWSetup: WM_APP_DOWNLOADDXUPDATE
03/15/10 11:28:09: DXWSetup: CDXWSetup::InitInstallEngine()
03/15/10 11:28:09: DXWSetup: CDXWSetup::InitInstallEngine(): Sections are not initialized.
03/15/10 11:28:09: DXWSetup: PreinstDlgProc(): CDXWSetup::InitInstallEngine() failed.
03/15/10 11:28:09: DXWSetup: WM_APP_ENDDOWNLOAD
03/15/10 11:28:17: DXWSetup: CDXWSetup::~CDXWSetup()
03/15/10 11:28:18: DXWSetup: CreatePropertySheet() returns -9.
03/15/10 11:28:19: DXWSetup: Deleted file C:\Windows\system32\directx\websetup\dsetup.dll.
03/15/10 11:28:19: DXWSetup: Deleted file C:\Windows\system32\directx\websetup\dsetup32.dll.
03/15/10 11:28:25: DXWSetup: ***** DXWSETUP *****
03/15/10 11:28:25: DXWSetup: WinMain()
03/15/10 11:28:25: DXWSetup: IsIA64(): not IA64.
03/15/10 11:28:25: DXWSetup: Unable to get Version on target file C:\Windows\system32\directx\websetup\dsetup.dll
03/15/10 11:28:25: DXWSetup: Installed file C:\Windows\system32\directx\websetup\dsetup.dll
03/15/10 11:28:25: DXWSetup: Unable to get Version on target file C:\Windows\system32\directx\websetup\dsetup32.dll
03/15/10 11:28:25: DXWSetup: Installed file C:\Windows\system32\directx\websetup\dsetup32.dll
03/15/10 11:28:25: DXWSetup: GetDXVersion(): Unable to get RC string from registry.
03/15/10 11:28:25: DXWSetup: DirectX Version: 4.09.00.0904.00
03/15/10 11:28:25: DXWSetup: Setup Version: 4.09.00.0904.00
03/15/10 11:28:25: DXWSetup: A newer version of DirectX have been installed already.
03/15/10 11:28:25: dsetup32: IsWow64(): not Wow64 process.
03/15/10 11:28:27: DXWSetup: CDXWSetup::CDXWSetup()
03/15/10 11:28:27: DXWSetup: CDXWSetup:

ownloadDXUpdate()
03/15/10 11:28:27: DXWSetup: OnEngineStatusChange(): EngineStatus = 0x1, SubStatus = 0x0
03/15/10 11:28:27: DXWSetup: OnEngineStatusChange(): EngineStatus = 0x3, SubStatus = 0x0
03/15/10 11:28:27: DXWSetup: OnEngineStatusChange(): EngineStatus = 0x2, SubStatus = 0x0
03/15/10 11:28:27: DXWSetup: OnStartInstall(): DLSize = 81, InstallSize = 0
03/15/10 11:28:27: DXWSetup: OnStartComponent(): ID = DXUpdate, DLSize = 81, InstallSize = 0, str = %DirectX_Setup%
03/15/10 11:28:27: DXWSetup: OnComponentProgress(): Phase = 0, Progress = 0
03/15/10 11:28:28: DXWSetup: OnStopComponent(): ID = DXUpdate, hr = 0x0, Phase = 9, str = %DirectX_Setup%, status = 0x0
03/15/10 11:28:28: DXWSetup: OnStopInstall(): hr = 0x0, str = (null), status = 0x0
03/15/10 11:28:28: DXWSetup: WM_APP_DOWNLOADDXUPDATE
03/15/10 11:28:28: DXWSetup: CDXWSetup::InitInstallEngine()
03/15/10 11:28:28: DXWSetup: CDXWSetup::InitInstallEngine(): Sections are not initialized.
03/15/10 11:28:28: DXWSetup: PreinstDlgProc(): CDXWSetup::InitInstallEngine() failed.
03/15/10 11:28:28: DXWSetup: WM_APP_ENDDOWNLOAD
03/15/10 11:28:47: DXWSetup: CDXWSetup::~CDXWSetup()
03/15/10 11:28:48: DXWSetup: CreatePropertySheet() returns -9.
03/15/10 11:28:48: DXWSetup: Deleted file C:\Windows\system32\directx\websetup\dsetup.dll.
03/15/10 11:28:48: DXWSetup: Deleted file C:\Windows\system32\directx\websetup\dsetup32.dll.
03/15/10 11:30:54: DXWSetup: ***** DXWSETUP *****
03/15/10 11:30:54: DXWSetup: WinMain()
03/15/10 11:30:54: DXWSetup: IsIA64(): not IA64.
03/15/10 11:30:54: DXWSetup: Unable to get Version on target file C:\Windows\system32\directx\websetup\dsetup.dll
03/15/10 11:30:54: DXWSetup: Installed file C:\Windows\system32\directx\websetup\dsetup.dll
03/15/10 11:30:54: DXWSetup: Unable to get Version on target file C:\Windows\system32\directx\websetup\dsetup32.dll
03/15/10 11:30:54: DXWSetup: Installed file C:\Windows\system32\directx\websetup\dsetup32.dll
03/15/10 11:30:54: DXWSetup: GetDXVersion(): Unable to get RC string from registry.
03/15/10 11:30:54: DXWSetup: DirectX Version: 4.09.00.0904.00
03/15/10 11:30:54: DXWSetup: Setup Version: 4.09.00.0904.00
03/15/10 11:30:54: DXWSetup: A newer version of DirectX have been installed already.
03/15/10 11:30:54: dsetup32: IsWow64(): not Wow64 process.
03/15/10 11:30:56: DXWSetup: CDXWSetup::CDXWSetup()
03/15/10 11:30:56: DXWSetup: CDXWSetup:

ownloadDXUpdate()
03/15/10 11:30:56: DXWSetup: OnEngineStatusChange(): EngineStatus = 0x1, SubStatus = 0x0
03/15/10 11:30:56: DXWSetup: OnEngineStatusChange(): EngineStatus = 0x3, SubStatus = 0x0
03/15/10 11:30:56: DXWSetup: OnEngineStatusChange(): EngineStatus = 0x2, SubStatus = 0x0
03/15/10 11:30:56: DXWSetup: OnStartInstall(): DLSize = 81, InstallSize = 0
03/15/10 11:30:56: DXWSetup: OnStartComponent(): ID = DXUpdate, DLSize = 81, InstallSize = 0, str = %DirectX_Setup%
03/15/10 11:30:56: DXWSetup: OnComponentProgress(): Phase = 0, Progress = 0
03/15/10 11:30:57: DXWSetup: OnStopComponent(): ID = DXUpdate, hr = 0x0, Phase = 9, str = %DirectX_Setup%, status = 0x0
03/15/10 11:30:57: DXWSetup: OnStopInstall(): hr = 0x0, str = (null), status = 0x0
03/15/10 11:30:57: DXWSetup: OnEngineStatusChange(): EngineStatus = 0x3, SubStatus = 0x0
03/15/10 11:30:57: DXWSetup: WM_APP_DOWNLOADDXUPDATE
03/15/10 11:30:57: DXWSetup: CDXWSetup::InitInstallEngine()
03/15/10 11:30:57: DXWSetup: CDXWSetup::InitInstallEngine(): Sections are not initialized.
03/15/10 11:30:57: DXWSetup: PreinstDlgProc(): CDXWSetup::InitInstallEngine() failed.
03/15/10 11:30:57: DXWSetup: WM_APP_ENDDOWNLOAD
03/15/10 11:31:34: DXWSetup: CDXWSetup::~CDXWSetup()
03/15/10 11:31:35: DXWSetup: CreatePropertySheet() returns -9.
03/15/10 11:31:35: DXWSetup: Deleted file C:\Windows\system32\directx\websetup\dsetup.dll.
03/15/10 11:31:35: DXWSetup: Deleted file C:\Windows\system32\directx\websetup\dsetup32.dll.
03/15/10 11:45:16: DXWSetup: ***** DXWSETUP *****
03/15/10 11:45:16: DXWSetup: WinMain()
03/15/10 11:45:16: DXWSetup: IsIA64(): not IA64.
03/15/10 11:45:16: DXWSetup: Unable to get Version on target file C:\Windows\system32\directx\websetup\dsetup.dll
03/15/10 11:45:16: DXWSetup: Installed file C:\Windows\system32\directx\websetup\dsetup.dll
03/15/10 11:45:16: DXWSetup: Unable to get Version on target file C:\Windows\system32\directx\websetup\dsetup32.dll
03/15/10 11:45:16: DXWSetup: Installed file C:\Windows\system32\directx\websetup\dsetup32.dll
03/15/10 11:45:16: DXWSetup: GetDXVersion(): Unable to get RC string from registry.
03/15/10 11:45:16: DXWSetup: DirectX Version: 4.09.00.0904.00
03/15/10 11:45:16: DXWSetup: Setup Version: 4.09.00.0904.00
03/15/10 11:45:16: DXWSetup: A newer version of DirectX have been installed already.
03/15/10 11:45:16: dsetup32: IsWow64(): not Wow64 process.
03/15/10 11:45:17: DXWSetup: CDXWSetup::CDXWSetup()
03/15/10 11:45:17: DXWSetup: CDXWSetup:

ownloadDXUpdate()
03/15/10 11:45:17: DXWSetup: OnEngineStatusChange(): EngineStatus = 0x1, SubStatus = 0x0
03/15/10 11:45:18: DXWSetup: OnEngineStatusChange(): EngineStatus = 0x3, SubStatus = 0x0
03/15/10 11:45:18: DXWSetup: OnEngineStatusChange(): EngineStatus = 0x2, SubStatus = 0x0
03/15/10 11:45:18: DXWSetup: OnStartInstall(): DLSize = 81, InstallSize = 0
03/15/10 11:45:18: DXWSetup: OnStartComponent(): ID = DXUpdate, DLSize = 81, InstallSize = 0, str = %DirectX_Setup%
03/15/10 11:45:18: DXWSetup: OnComponentProgress(): Phase = 0, Progress = 0
03/15/10 11:45:18: DXWSetup: OnStopComponent(): ID = DXUpdate, hr = 0x0, Phase = 9, str = %DirectX_Setup%, status = 0x0
03/15/10 11:45:18: DXWSetup: OnStopInstall(): hr = 0x0, str = (null), status = 0x0
03/15/10 11:45:18: DXWSetup: WM_APP_DOWNLOADDXUPDATE
03/15/10 11:45:18: DXWSetup: CDXWSetup::InitInstallEngine()
03/15/10 11:45:18: DXWSetup: CDXWSetup::InitInstallEngine(): Sections are not initialized.
03/15/10 11:45:18: DXWSetup: PreinstDlgProc(): CDXWSetup::InitInstallEngine() failed.
03/15/10 11:45:18: DXWSetup: WM_APP_ENDDOWNLOAD
03/15/10 11:45:20: DXWSetup: CDXWSetup::~CDXWSetup()
03/15/10 11:45:21: DXWSetup: CreatePropertySheet() returns -9.
03/15/10 11:45:21: DXWSetup: Deleted file C:\Windows\system32\directx\websetup\dsetup.dll.
03/15/10 11:45:21: DXWSetup: Deleted file C:\Windows\system32\directx\websetup\dsetup32.dll.
03/15/10 11:48:19: DXWSetup: ***** DXWSETUP *****
03/15/10 11:48:19: DXWSetup: WinMain()
03/15/10 11:48:19: DXWSetup: IsIA64(): not IA64.
03/15/10 11:48:19: DXWSetup: Unable to get Version on target file C:\Windows\system32\directx\websetup\dsetup.dll
03/15/10 11:48:19: DXWSetup: Installed file C:\Windows\system32\directx\websetup\dsetup.dll
03/15/10 11:48:19: DXWSetup: Unable to get Version on target file C:\Windows\system32\directx\websetup\dsetup32.dll
03/15/10 11:48:20: DXWSetup: Installed file C:\Windows\system32\directx\websetup\dsetup32.dll
03/15/10 11:48:20: DXWSetup: GetDXVersion(): Unable to get RC string from registry.
03/15/10 11:48:20: DXWSetup: DirectX Version: 4.09.00.0904.00
03/15/10 11:48:20: DXWSetup: Setup Version: 4.09.00.0904.00
03/15/10 11:48:20: DXWSetup: A newer version of DirectX have been installed already.
03/15/10 11:48:20: dsetup32: IsWow64(): not Wow64 process.
03/15/10 11:48:22: DXWSetup: CDXWSetup::CDXWSetup()
03/15/10 11:48:22: DXWSetup: CDXWSetup:

ownloadDXUpdate()
03/15/10 11:48:22: DXWSetup: OnEngineStatusChange(): EngineStatus = 0x1, SubStatus = 0x0
03/15/10 11:48:22: DXWSetup: OnEngineStatusChange(): EngineStatus = 0x3, SubStatus = 0x0
03/15/10 11:48:22: DXWSetup: OnEngineStatusChange(): EngineStatus = 0x2, SubStatus = 0x0
03/15/10 11:48:22: DXWSetup: OnStartInstall(): DLSize = 81, InstallSize = 0
03/15/10 11:48:22: DXWSetup: OnStartComponent(): ID = DXUpdate, DLSize = 81, InstallSize = 0, str = %DirectX_Setup%
03/15/10 11:48:22: DXWSetup: OnComponentProgress(): Phase = 0, Progress = 0
03/15/10 11:48:23: DXWSetup: OnStopComponent(): ID = DXUpdate, hr = 0x0, Phase = 9, str = %DirectX_Setup%, status = 0x0
03/15/10 11:48:23: DXWSetup: OnStopInstall(): hr = 0x0, str = (null), status = 0x0
03/15/10 11:48:23: DXWSetup: OnEngineStatusChange(): EngineStatus = 0x3, SubStatus = 0x0
03/15/10 11:48:23: DXWSetup: WM_APP_DOWNLOADDXUPDATE
03/15/10 11:48:23: DXWSetup: CDXWSetup::InitInstallEngine()
03/15/10 11:48:23: DXWSetup: CDXWSetup::InitInstallEngine(): Sections are not initialized.
03/15/10 11:48:23: DXWSetup: PreinstDlgProc(): CDXWSetup::InitInstallEngine() failed.
03/15/10 11:48:23: DXWSetup: WM_APP_ENDDOWNLOAD
03/15/10 11:48:24: DXWSetup: CDXWSetup::~CDXWSetup()
03/15/10 11:48:25: DXWSetup: CreatePropertySheet() returns -9.
03/15/10 11:48:25: DXWSetup: Deleted file C:\Windows\system32\directx\websetup\dsetup.dll.
03/15/10 11:48:25: DXWSetup: Deleted file C:\Windows\system32\directx\websetup\dsetup32.dll.
03/15/10 11:50:24: DXWSetup: ***** DXWSETUP *****
03/15/10 11:50:24: DXWSetup: WinMain()
03/15/10 11:50:24: DXWSetup: IsIA64(): not IA64.
03/15/10 11:50:24: DXWSetup: Unable to get Version on target file C:\Windows\system32\directx\websetup\dsetup.dll
03/15/10 11:50:24: DXWSetup: Installed file C:\Windows\system32\directx\websetup\dsetup.dll
03/15/10 11:50:24: DXWSetup: Unable to get Version on target file C:\Windows\system32\directx\websetup\dsetup32.dll
03/15/10 11:50:24: DXWSetup: Installed file C:\Windows\system32\directx\websetup\dsetup32.dll
03/15/10 11:50:24: DXWSetup: GetDXVersion(): Unable to get RC string from registry.
03/15/10 11:50:24: DXWSetup: DirectX Version: 4.09.00.0904.00
03/15/10 11:50:24: DXWSetup: Setup Version: 4.09.00.0904.00
03/15/10 11:50:24: DXWSetup: A newer version of DirectX have been installed already.
03/15/10 11:50:24: dsetup32: IsWow64(): not Wow64 process.
03/15/10 11:50:25: DXWSetup: CDXWSetup::CDXWSetup()
03/15/10 11:50:25: DXWSetup: CDXWSetup:

ownloadDXUpdate()
03/15/10 11:50:25: DXWSetup: OnEngineStatusChange(): EngineStatus = 0x1, SubStatus = 0x0
03/15/10 11:50:25: DXWSetup: OnEngineStatusChange(): EngineStatus = 0x3, SubStatus = 0x0
03/15/10 11:50:25: DXWSetup: OnEngineStatusChange(): EngineStatus = 0x2, SubStatus = 0x0
03/15/10 11:50:25: DXWSetup: OnStartInstall(): DLSize = 81, InstallSize = 0
03/15/10 11:50:25: DXWSetup: OnStartComponent(): ID = DXUpdate, DLSize = 81, InstallSize = 0, str = %DirectX_Setup%
03/15/10 11:50:25: DXWSetup: OnComponentProgress(): Phase = 0, Progress = 0
03/15/10 11:50:26: DXWSetup: OnStopComponent(): ID = DXUpdate, hr = 0x0, Phase = 9, str = %DirectX_Setup%, status = 0x0
03/15/10 11:50:26: DXWSetup: OnStopInstall(): hr = 0x0, str = (null), status = 0x0
03/15/10 11:50:26: DXWSetup: OnEngineStatusChange(): EngineStatus = 0x3, SubStatus = 0x0
03/15/10 11:50:26: DXWSetup: WM_APP_DOWNLOADDXUPDATE
03/15/10 11:50:26: DXWSetup: CDXWSetup::InitInstallEngine()
03/15/10 11:50:26: DXWSetup: CDXWSetup::InitInstallEngine(): Sections are not initialized.
03/15/10 11:50:26: DXWSetup: PreinstDlgProc(): CDXWSetup::InitInstallEngine() failed.
03/15/10 11:50:26: DXWSetup: WM_APP_ENDDOWNLOAD
--------------------------------------------------------------------------
Thanks again, maybe installing Direct X isn't necessary seeing how I've got Vista SP2.