Go to Microsoft's website and download and install the latest version of DirectX. That should get rid of the error. If this does not work do the following:

1. Open "My Computer" and right-click on the DVD-ROM drive with the Resident Evil 4 icon (re4_eng) and select "Explore".
2. Open the folder called "directx_aug2006_redist".
3. Locate and double-click on the file called "DXSETUP" and follow the instructions on the screen to install DirectX.

Once this is done, you should not have any more trouble playing Resident Evil 4.