If you add SweetFX through the Configurator you need to use the split install option:
SweetFX Installation directory:
C:\Program Files (x86)\Radiant Worlds\SkySaga Infinite Isles
Split SweetFX Install:
C:\Program Files (x86)\Radiant Worlds\SkySaga Infinite Isles\Client
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If you add SweetFX manually put the dxgi.dll and the d3d9.dll file to C:\Program Files (x86)\Radiant Worlds\SkySaga Infinite Isles\Client
and all the other SweetFX files to
C:\Program Files (x86)\Radiant Worlds\SkySaga Infinite Isles