If you are experiencing this problem with the demo version of the game, you will need to uninstall and reinstall the demo and be sure to install DirectX when prompted to do so.
If you are experiencing this problem with the full retail version of Lockdown, you can find the DirectX installation file on Disk 5 of the game. To access this file, place disk 5 in the drive and in Windows, open My Computer -> Right-click on the drive with the disk and select Explore. Browse to the DirectX9 folder and run the DXSETUP.exe file. This will install the correct version of DirectX needed by the game and allow you to play without problems.