Just tried it, it doesn't work.

I randomly removed some of the image files from my folder, just to see what would happen. It does not make it past the startup screen, and it says "Can't open >name of image file< ...

So I don't think it's to do with any missing files.

Also, I removed the d3dx9_30.dll file from my .cd folder, just to see what would happen, and it did not make any difference. It gets past the loading screen, then it tells me that "Level_001.exe has stopped working..."

Could it be directx related?

For the record, I have also tried including different versions of the directx files, including d3dx9_30,32,42 and 43. I saw this had solved someone else's issues on another thread.