When you attempt to install DirectX on Windows 2000, you receive a non-english language error.
The error should read:
Process Full Path Name create error. Problem: Cannot find the specified path.
The reason that the message is in a non-english language is that your logon name contains unicode characters.
To workaround this issue:
1. create a new account for the install. Don't use unicode characters in the account id.
2. Make this new account a member of the local Administrators group.
3. Log on as this new account and install DirectX.