Hello there, there are few things you can try:
- launch in Windows 7 compability mode
- run as administrator
- or you can try installing DirectX9 from official Microsoft website:
I'm also using Windows 11, for me installing DirectX9 worked, but perhabs you are using a laptop? There are certain system differences there.
Also you can try this one, it should install older DirectX even if you have newer one already:
https://www.microsoft.com/en-us/download/details.aspx?id=8109