This helped me. For the record, I'm on Win2000, Service Pack 3, 700 Athlon, nVidia TNT2.
I removed DirectX 8.1 with the *.inf that came with this
tool, and re-installed DirectX from the disc.
It didn't agree that DirectX had been installed though, and I couldn't access Grim from the splash menu that loads when you stick the disc in - I had to run the .exe file, then Grim would load fine.
Then, I experienced another nice little problem. It cuts out every five minutes or so, straight to desktop. I can run about fine for a while, but then it just 'stops'. It does this whether I switch 3D acceleration (Direct3D) on or off.
Are there some settings I should tamper with in DXDiag - eg DirectSound acceleration?