'My purpose in all this is to install Direct X (would this even work in Virtual PC?)'; via 'Virtual PC's pseudo Windoze environment select the 'Start, Run...' menu item. Enter ...
dxdiag
... and click the 'OK' button. A window titled 'DirectX Diagnostic Tool' will appear.
Click on window's various tabs for various bits of information. Click on the 'System' tab to obtain the currently installed 'DirectX Version'.
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'... my Mac web browsers work fine.', is comparing Apple's (nice pun lead-in) to oranges (Virtual PC, that is). Such comparisons are irrelevant.
'... virtual switch enabled'; ? As per 'Virtual PC's 'Virtual PC, Preferences...' 'Virtual PC Preferences' window - 'Virtual Switch', when selected allows only 'Select Ethernet adapter:' '(Default' or 'Built-in Ethernet' popup menu item selection. Selecting either 'Select Ethernet adapter:' popup menu item resulted in the same overall time to load web pages, here.
'... virtual switch enabled'; take two ... oh, you mean 'Virtual PC's 'Edit, "Windows 2000" Settings...' menu item's 'Networking' setting's virtual switch . Actually, placing a check mark in the 'Enable networking' check box, and then clicking on the 'Shared Networking' radio button - is the simplistic approach to allowing 'Virtual PC's internet applications to access the internet.
'I am using a Linksys router, a DSL modem, and there is an IBM Thinkpad wirelessly connecting to it all.', nice to know; but, not related to why 'Virtual PC's 'Internet Explorer' to fail to connect to the internet.
'My settings are built-in ethernet, connecting using PPPoE.'; the Mac's 'System Preferences' 'Network' settings - I presume; and, correctly set.
'On the virtual switch thing, are you running Tiger? If so the virtual switch is broken ...'; not so. Or at least not here, with a similar set up as Preseus'es.
'IE doesn't seem to load webpages even though the status at the bottom says things like "website found..waiting for reply" or "connecting to site". The blue load status bar creeps ever so slowly...'; if this statement applies to 'any' web site then I am perplexed. Not so, if it is a specific (Microsoft) web page, however.