If you get an error message saying "The software you are installing has not passed Windows Logo testing to verify its compatibility with Windows XP", this should help:

http://www.mvps.org/marksxp/WindowsXP/SP1/common.php#crypt

This problem can occur if the Cryptographic Service is Disabled in services.msc or a file within %Systemroot%\System32\Catroot2 folder has become corrupt.

To correct this issue, first go Start > Run and enter services.msc
A list of Windows Services should now appear on your screen, scroll down the list until you find Cryptographic Services. Right click this and select properties. Now ensure that the startup type is set to automatic and click the start button in that window if the service status is stopped.

If the problem persists, go to run and type in cmd then click ok.
Next type in the following commands, at the end of each line press the return key on your keyboard

net stop cryptsvc
ren %systemroot%\system32\catroot2 oldcatroot2
net start cryptsvc

Now attempt to run the DX9 installer again.

If this does not help go to Start > Run and type in %temp%
Delete all items in this folder and attempt setup again. If you are using Windows XP on a FAT32 formated hard disk, you should also run chkdsk (right click on hard disk in my computer > properties > tools tab > error checking > check now button).

If you are still having issues, it is possible that other Windows System files may be damaged. To attempt a repair go to Start > Run and type cmd
After doing this enter the following two commands in this order, SFC /Purgecache followed by SFC /ScanNow
Performing these operations may take several minutes and will require your Windows XP install disc unless a copy of the i386 folder from an install disc is located on your hard disk (usually c:\i386).

If you are still having an issue at this point, you may require to reregister certain dll libraries.
Go to Start and open the run box, in order to register the dll's we must use the following syntax

regsvr32 nameof.dll

Start off by entering the following into the run dialog - regsvr32 softpub.dll
Then register the following dll files by operning the run box again and typing regsvr32 and the name of the following files (one at a time).

Wintrust.dll, Initpki.dll, Dssenh.dll, Rsaenh.dll, Gpkcsp.dll, Sccbase.dll, Slbcsp.dll, Mssip32.dll, and Cryptdlg.dll.

An update is now available that can prevent catroot2 files from becoming corrupt again, to obtain it visit the Windows Update site and download Q817287: Critical Update (Catalog Database Corruption in Microsoft Windows), this should correct the problem and prevent it in future. This update will not appear on the Windows Update site unless you have Service Pack 1 for Windows XP installed. This update requires the above action to be taken before it will install.