The old Pyro 2003 installer will not work correctly with DX 9 installed. If you bought a disk, please download the fixes from http://www.cakewalk.com/Support/DX9.ASP
Customers that previously purchased the ESD via download can follow the directions in the "Important Information" email to download the file again and will receive the new PYRO2003.exe. You may want to rename it. That should fix the problem.
If the reg keys do not import properly please follow these instructions:
Click the Windows Start button and select Run. At the prompt type
REGEDIT and click OK.
Click the + sign next to HKEY_LOCAL_MACHINE, then click the one next to Software, then Microsoft, then DirectX. Now right-click on VERSION in the right hand Window, choose Modify. Change the Value Data to 4.08.01.0810 click OK and close the registry.
You should now be able to install Cakewalk. In order to change Windows back to DX9, go through the same steps and type in 4.09.00.0900 for the Value.