CoCreateInstance(&CLSID_CDirect3DRMTexture, NULL, CLSCTX_INPROC_SERVER, &IID_IDirect3DRMTexture3, &texture3) returns REGDB_E_CLASSNOTREG. Am I missing something?
Does it work for IDirect3DRM? It may not be supposed to work, although it's also possible d3drm.dll is just not properly registered.
If you copied d3drm.dll from XP you'll most likely have to register it with regsvr32.