Your DX may not be thunking properly to older emulation because some files may be missing. Some older games call some DLL's directly, and they often aren't included in the default install on the newer OS's (post XP). Download the standalone DirectX 9.0c from Microsoft and run it--this sometimes fixes it for people having issues with older games.
http://www.microsoft.com/download/en/details.aspx?id=8109
Also, if this is FFXI--make sure to go into the FFXI Config and setup your resolutions, controller/sound options, etc. to seed the registry keys first(it's nested somewhere in Steam, just don't know where as I've never used it).
Edited, Jul 3rd 2011 2:17pm by BDHERTZER