This mostly come from either lack of a graphic card that can support OGRE games
, lack of updating ones graphic card, or lack of obtaining/downloading Direct 3D
First step would b to find out what card you have : http://kito.forum.com.bz/t370-how-to-find-what-graphic-card-you-have
Second step would be going to google and search " How to update my (graphic card name goes here) graphic card?
3rd step is to download Direct3dX9 http://www.filehippo.com/download_directx/
Could always try switching to Open GL
If that doesn't work, you can figure your graphic card doesn't support Ogre Graphics.