Screenshot of the error pls, but others had the same error, search the forum.
Are you starting it via the desktop icons or by double clicking the executables?
Some tried to install the latest directx9c from Microsoft and worked.
Also, you can try to uninstall all, reinstall just lockon (no need of flaming cliffs 1) and then install flaming cliffs 2 in a different folder than lockon (or in a subfolder). If you can, outside C:\program files.
Also, always run setup.exe as an administrator (left mouse click, run as administrator)