I dont know where you recieved the install instructions from, but they are wrong. the installer does not need to be in the game directory. the actual install instructions are:
1. download SO mod.
2. copy your DFX folder and paste in the same directory.
3. rename to "Delta Force Xtreme SO". the folder should then be this: C:\Program Files\NovaLogic\Delta Force Xtreme SO
4. run the installer.
here a program to run before installing, it will do steps 2 and 3 for you.
http://wtf-squad.com/PHP-Nuke/module...p=getit&lid=38
the install instructions you had is for BFM/DJ3