You might have better luck using the smarts built into CrossOver Games for installing DirectX.
DirectX is a "dependency" and CrossOver hides those by default. For Linux, there's a checkbox right in the install wizard to show them. On the Mac, there's a setting on the Installer Assistant tab of CrossOver's preferences dialog.
Once dependencies are shown, you can pick the DirectX package from the list. I think DirectPlay is part of the legacy runtime, although you can probably install both to make sure you've got everything.