FCEU - When I open it brings a pop up that says "DirecDraw - current bit depth not supported" Other than that it seems to play the games correctly
I know this is an old thread, but no one posted a solution - I just tried FCEU last night and got it working (98SE, DirectX 9.0c), but initially had the same problem. Here's the fix:
FCEU "out-of-the box" is set up for full screen settings of 320x240x16 bpp. My graphics card can't handle this (FIC A9200 128M) and I would expect older cards to have more problems. This worked for me.
In Windows Explorer, double-click FCEU.exe - This opens FCEU in a window. Go to the config-video menu. Under full screen, leave Custom selected but change the custom settings to 640x480x16, or 800x600x8, or whatever works (if not sure, just try the likely ones until FCEU doesn't give an error). Also click "Stretch to Full Screen".
This should fix the problems.