I had this problem too, the trick is that they don't want a DxDiag. Follow their instructions word to word and you'll see that the text file created on your desktop is "DirectX" and NOT DxDiag.
edit: The instructions given are to click on "run" from start menu. Then you type something in there and press enter. After a few seconds the "DirectX" text file will appear. On the registration form, browse for it and select "DirectX" from your desktop.