I tried running the dxwebsetup once and it failed. I ran it again from this link http://www.microsoft.com/downloads/en/details.aspx?FamilyID=2da43d38-db71-4c1b-bc6a-9b6652cd92a3&displaylang=en and now Legions starts!!!

Unfortunately I already have DirectX 11. Here is my Dxdiag for good measure.

I have the same issue. I do have a console.log file though. I have Windows 7 64 bit fully patched with .Net 4. I have the latest driver installed on my HD 4800. Fallen Empire: Legions - 2/10/2011 - 18:24:07 Checking for unused arguments... Checking switch "log-mode"...