Welcome to the board, Vortex^!!!
I'm not the techie around here so I probably can't help too much with your problems but ...
You should have a version of DirectX already (I presume) and if it is the current version (9 or whatever) you should not need to downgrade for the sake of W&W - so that much should be okay. If I'm wrong on that the techie regulars will be certain to correct me!
Have you tried accessing the W&W disk and clicking on the install program? (hope that made sense) If it were in drive d: - access drive d:, find the installation program and click on it - I think that should work. Otherwise you could click on "start" and then choose "run" and type in D:nameoftheinstallationprogram.exe (obviously that is NOT the name of the program, but I'm not going to guess at what it is and I don't recall if it was just install.exe)
Hope that will help out. If not, do come back soon. The techie regulars stop in several times per day and will be able to give you excellent advice!
If you do experience further problems, it would be helpful if you give a good description of your computer - brand, OS, version of DirectX, video, memory - the basic information which can be helpful.
Wyv