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I also have a "Direct X5 not found" error but my workaround in pretty fun : in the folder fo the game, there are 2 files, one called "comandos" (with a typo) and another called "commandos", all I have to do is to double-click the file WITHOUT the typo to launch the game (and yes both are mandatory otherwise the game won't start)...

While it's not really a big problem, it would be nice if GOG could fix this :-)