Problem with FS2002 installation

I just purchased a new computer with Windows XP. I tried to install my FS2002 in the new computer and got this error message several times: "The application or DLL D:\DirectX\setup.DLL is not a valid windows image. Please check this against your installation diskette." Then I got this error message: "DirectX setup failed." I just downloaded and installed DirectX 9.0 (and restarted the computer). Does anyone know what is wrong here?
Thank you.
Thank you.