The truth is, technology scares some people. A lot of people. Computers are complex, and a lot of 'casual' users don't know anything past the basics. The instant they read: "A required DirectX component, 'd3dx_30.dll', was not found." What's a .dll?! Yikes! Cancel. They don't want to screw anything up. For that matter, a lot of people who play casual games and such don't even know what direct X is.
We're developers and most of us have probably been tech-savvy most of our lives, so it's easy to not realize just how nervous the general populace is about computers.
As such, I would recommend close to what Attan suggested, so the box says: "Your version of DirectX is too old, click update to download the newest version." And a button named "More info" with all the technical details.
I'm not sure if 'update' is better than 'OK', but either way that sounds completely harmless and obscures the technical information that might scare them away. They know 'more info' is for advanced users, and that they don't have to know what it is - otherwise it would be displayed in the main message - and they don't need worry about the details.
It also makes the solution seem easier - they don't need to know what a .dll is, they just need to click that update button, which will update direct X - whatever that is - which will let them play. What's more, is it makes it seem safer. "Oh, I already have direct X? Well, updating it isn't any trouble, then."