You'll want to install DirectX, and any VisualC++/.net redistributables the game uses. Usually these are packaged up in the game directory somewhere (Look for an install, dependencies, redist or something folder). It's likely you are getting this error because the game was never actually installed (such as a steam game you copied directly from one computer to another, including the GCF files, so steam thinks it's already run it's first time setup stuff, when in fact it has not).
I usually have to do this stuff because I copy all my steam games when I reformat rather than redownload. Usually downloading directX redistributable, .net 3.1 redistributables, .net4.0 redistributables, and VisualC++ redistributables will cover you for 99% of games. If you download them from the internet, ONLY get them from Microsofts website, they are free as well.