Google says..
First method:
If you're in Vista/7, setting the compatibility mode to XP SP2 worked for me. To do that, right click your CoDWaW.exe in C:\Program Files (x86)\Activision\Call of Duty - World at War (No (x86) if you're in a 32-bit system. Change the drive as necessary, of course.) and then go to Properties -> Compatibility, check the "Run this program in compatibility mode for:" box and then select "Windows XP Service Pack 2" from the dropdown menu, hit apply, then give it a shot.
Second method:
Message Box displaying: “Error during initialization: Unhandled exception caught”
To remedy these problems do the following:
The Missing DLL file (d3dx9_36.dll) is attributed to an outdated version of Microsoft DirectX. Simply point your browser to here (
http://www.microsoft.com/downloads/...38-DB71-4C1B-BC6A-9B6652CD92A3&displaylang=en) to download the Microsoft DirectX 9/10 web download application. This will determine the version of DirectX installed on your system and apply the latest SDK updates accordingly.
After this install is complete the error should no longer appear and the game should run fine.
If those solutions do NOT work, I will continue to search until your problem is fixed.