The .cpl file extension is short for control panel, so directx.cpl refers to a file/program running under Control Panel. Open your control panel and look for the black and yellow "X" icon. This is the icon linked to the directx.cpl file. What this error message means is that you have an earlier version of this file which may not report or function correctly with later versions of DirectX. As far as I know, it shouldn't affect your ability to install or use later versions of DirectX (unless perhaps you have used it to change some of the settings.) It may simply misreport DirectX 9 as being DirectX 2 for example.
You can download a newer version of the directx.cpl file for DirectX 9.0C at the following link:
http://www.majorgeeks.com/download4017.html
or just use the attached zip file which I downloaded from the same site. It's a Microsoft product so you can probably find it somewhere on their site as well. Unzip the file and either overwrite or copy the new directx.cpl file into the Windows/system32 folder (WinXP & 2000.) Try the Windows/system folder for Win98 & ME. When finished, look for the DirectX icon in your control panel and click for more info.
If you don't already have this handy little utility, you might want to consider installing it on your PC. It also fits on a floppy so you can take it with you and quickly check the DirectX version running on any PC. It allows direct access to the DXdiag program as well. Just be careful not to mess with any settings you don't understand and you should be in good shape. That's why Microsoft didn't include this tool in their standard OS but made it available only to advanced users. Hope this was helpful guys and best of luck...