I downloaded the most current DirectX, and also the demo. I click accept the rights, and then it starts to install and then prompts for a disk 1....wtf?
maybe your download is corrupted... at least,.. it shouldnt be asking for anything at all... so i gues some files with are needed by the setup arn't in the folder from where you run the setup.
that makes the setup asked for a disk with would contain the missing data.