This is a question that has been asked many times on the boards. And the solution is simple, get DirectX 9.0c (
http://www.microsoft.com/downloads/details.aspx?familyid=9226A611-62FE-4F61-ABA1-914185249413&displaylang=en) and the latest graphic card drivers for your video card. First you need to know what graphic card are you using, you can check it by running the DirectX Diagnostic tool. Run "dxdiag" under start menu, and click the "Display" tab, there your graphic card name and company would be listed. (If you've noticed, you can see your current DirectX name and version at the front page)
ATI - download Catalyst 6.4 here (
https://support.ati.com/ics/support/default.asp?deptID=894&task=knowledge&folderID=27)
NVIDIA - download Forceware 84.21 here (
http://www.nvidia.com/object/winxp_2k_84.21.html)
Other sites such as
www.guru3d.com) offers a wider selection of drivers, but I recommend using them if you're an advance user as you'll be able to find beta drivers and some other tweaking softwares that could cause problems to your PC. For starters, just download the latest drivers from ATI or NVIDIA. Check your graphic card to find out which one you are using, if you're not using either one (Intel Extreme or Voodoo 3D FX) then thats too bad. If you're running ATI or NVIDIA and still experience the error even after updating the drivers, it means your graphic card simply does not support OpenGL 1.4 or higher. (Note that Jedi Academy requires OpenGL 1.4, although theres a forum member who claimed he could run JA on his OpenGL 1.3 card)