1) Update your drivers to the LATEST versions in your case from Nvidia's website.
2) Update your DirectX to 9.0b
3) A geforce 4 MX can not run pixel shaders as its basically a Geforce 2 as far as features go.
4) Make sure you are in 32-bit color (works best in 32-bit color).
5) Read about converting .CG files into .FX files in this forum as DBPro uses .FX files at the moment to do shaders. Its pretty easy to convert as they basically are the same language with a few changes.
6) The demo is supposed to support Upgrade 5 as it says on the website, but I don't know know what examples are in the demo as I don't have the demo. :p
7) There are different versions of shaders and your video card may not support all versions of shaders. 1.0,1.1 will work, but I don't know if 1.4 will work and 2.0 will not work on your video card.
8) There is a shader pack currently on DBDN that comes with several shaders, most of them simple. The ones in Upgrade 5 are new bumpmapping shaders, cartoon shaders, metal shaders, bubbles shaders, water shaders.
Dark Basic Pro - The Bedroom Coder's Language of choice for the 21st Century.