I read somewhere that if you create a file called ddhelp.exe in the system32 directory, it will fix problems like this. It doesn't matter what is in the file, just that it is there.
 
I haven't tried this myself though...

Yeah that sounds about right, as its the only DX file DXdiag seems to think is missing, thinking back i'm sure it was on beta 3....
 
However I got round that problem by not starting the game with the setup program "grim.exe", and instead started with "grim fandango.exe".
 
It was then I was hit by a "max No of files cached error" (roughly translated from tech talk). I fixed this by getting the official update. Now it loads, and the video intro is perfect, and the game appears to run perfectly.
 
However it then jumps out with no error message usually during a scene change, like leaving a room etc.
 
The quest continues...
 
 
ps I'm writing this using BeOS and its £^"king excellent!

Go get the update patch from the lucas arts website. That should fix the problem. It did for me!