Honestly I think this is going to be a problem for quite some time. Here's a few reasons why:
1. Most everybody assumes that directx is automatically updated because its Windows.
2. Most people assume that just because they installed directx with some other game that their version is up to date, or a least good enough. "Hey I run WOW on this machine, so it must be the right version".
3. Yeah the big red x, and the annoying Windows error sound will put off most people.
So a couple options are to either a: make a way to have games be backwards compatible to other versions, or b: like deadeye said have a quaint little notice that wont scare them away.
Something with rainbows, and unicorns, and a nice big font with lots of hearts and smiley faces.