I am getting a similar problem I have XP with SP1 but whenever I run NFSU2 the program says that there is an error in the program. I am unsure as to wether the problem is DX9 but I will check tonight. I already have 9.0b. Is Direct X the problem or is it something else?
EDIT - Also when I installed the program the Direct X installer never actually came up asking to install it.