The DirectXSetup function takes a parameter, lpszRootPath, that points to the root directory of the installation. Optionally, it can be NULL to indicate that the root path is the current directory—that is, the directory where your setup program resides.
The root directory must contain Dsetup.dll, Dsetup16.dll, and Dsetup32.dll. It must also have a folder named "DirectX" (not case sensitive) containing all the redistributable files and drivers. To create the proper structure on your application setup disc, you should simply copy the entire contents of the Redist\DirectX6 folder on the DirectX SDK disc into the root path of your setup program. Note that this folder was not copied to your development machine when you installed the SDK, so you have to get it from the original disc.