Hi there!
First off you should get the latest version of 3DGS; it's A6.31.4 already (it shouldn't matter that much for your shader though...) As for your problem; it's a bit strange because at my pc it does seem to work, haven't checked it the direct x lighting though, but I mean the multi texturing part.. Can you post your code, or is it exactly like at the wiki page?
The error message could mean your hardware doesn't support it somehow, but that's odd because a Geforce 5200 should be capable of handling ps 1.1 and vs 1.1, but that 'target' it's talking about is your pc, so..........
(When I get back to my pc I will check this)

Cheers