DirectX 8.1 works with Win 98,Me,2000, and Xp. So you should be fine

Just make sure you download the right file. There is a separate file for windows 2000, that might have been your problem. Obviously you need to download the one for 98 and Me. Windows Xp comes with 8.1 so they are good to go. Here is the link for the DirectX page <a href="http://www.microsoft.com/directx/homeuser/downloads/" target="_blank">DirectX8.1</a>
Hope this helps