That'll be why then. GP4 needs DX8.1 and D3D8.DLL is part of that. Ive got DX9 installed with no problems what so ever. I'd personally install it as it does great things for your FPS in most games.
It's interesting, I've personally never had a DLL error that wasn't direct x assosciated. You'd think they could standardise the error messages to say something like "incorrect direct x mode" or something :P
All Windows error messages are very un-informative. But apparently, a pre build of XP with good error messages was 5 Gb to install. Either that, or you'd have to insert the CD in to read the error message. It would be better though if they gave you a reference to lookup online.