Thanks, guys. 
However, following your advice to solve D3DX_32.DLL problem, I've tried many times to download directX from a few websites but I couldn't. It kept saying
" You cannot download DirectX, There is an internal error. Refer to DXError.log and DirectX.log"
I visited Civ4 - Technical support, but I still couldn't find out the key.
Can you help me?
How can I download DirectX and successfully start to play Civ 4?
I'm using XP.

However, following your advice to solve D3DX_32.DLL problem, I've tried many times to download directX from a few websites but I couldn't. It kept saying
" You cannot download DirectX, There is an internal error. Refer to DXError.log and DirectX.log"
I visited Civ4 - Technical support, but I still couldn't find out the key.
Can you help me?

How can I download DirectX and successfully start to play Civ 4?
I'm using XP.