Yeah, I'm afraid I don't know their system well enough. I would suggest you contact Steam's customer support, as it possibly a problem with their DRM.
Edit! So I just noticed that Emily forwarded your PM to me. I'm not 100% sure about (and would happily be proven wrong by other forum goers out there), but I think on Vista you can have DX10 installed even if your card doesn't support it. DX will just throttle itself down to be usable. Like I said, I'm not entirely sure about that and the internet is being largely unhelpful tonight.
Since you have already gotten DX updated according to your post, I doubt it is still a problem, but feel free to go
here and see if you can get DX9 to install. It will likely tell you that a more recent version exists, but it is worth a shot. As for DEP, I'm afraid I can't help you till I get back to the office on Wednesday and have a Vista machine in front of me.