I installed Morrowind Script Extender and Morrowind graphics Extender, I'm not sure if they have compatibility issues or not. I tried to start Morrowind and I got ---Cannot run because the program cannot find the file "d3d8_40.dll" to start application---
I'm sorry I don't know the whole error message, I was just wondering if there are any compatibility issues?
As far as i know this occurs when DirectX isn't fully installed. I would try to download DirectX 9.0c again and install it fully and see if the problem still exists. I doubt this is a compatability error but I could be wrong of course.
That error is caused by not having the proper version of DirectX (as rene13cross said).
The d3d9_40 DLL is from the November 2008 redistributable.
At this point, you should have the March 2009 version of DirectX 9.0c installed, as MGE 117+ requires that to run. :)