Jim-
Actually, I've had this problem for almost a week. As of this date, I STILL get the same problem with the RoNX. I have tried multiple fixes: reinstalling, dirextx updates, video driver updates, using the CD-Drive of a computer on which RoNX DID work (but didn't work when I used it on my computer), installing the patch directly from a DOS script, etc.
I've been communicating with MS tech support but so far this hasn't really gotten me anywhere. I'm frankly quite annoyed. I cannot figure out what the problem is, and neither can any of my friends.
Some other people have had this problem, and have actually had to REFORMAT their HDDs in order for RoNX to work. For me, this is currently not an option, as I need to get a CD-R drive and quite a few CD-Rs to back up my data before I attempt anything like that.
Try contacting MS tech support. At the very least, we can make MS increasingly aware of the problem BHG's game is having with some of our systems.
If you DO fix your system, be sure to tell us how. =/ Maybe I can fix mine by replicating your fix.