error DSERR_INVALIDPARAM

i can choose opengl or directx into my game. My game works fine with opengl, but i"ve a strange bug when i choose directx :
program stop and this is displayed :

SetCooperativeLevel = DSERR_INVALIDPARAM

and the game stop (also in debug mode without highlight a line).

Is someone have experimented this ?

(xp, service pack 1, dx9, radeon9200)

sorry can't reproduce the error into an small code example.