Definitely use just windowed mode. Only one application can have "fullscreen" acceleration privileges hence the dx9 error. You might experience some problems renaming game clients and removing window borders all at once if you are not using an administrator account. I think adding a wait for 5000ms in between launches works if you are having that problem. Here is my script if it helps:
Code:
//================================================================
//
// SCRIPT FOR FIVE WOW'S ON ONE PC
//
//================================================================

//-----------------------------------------------------------
// SUBROUTINE TO LAUNCH AND RENAME A COPY OF WOW.
//-----------------------------------------------------------
<Command LaunchAndRename>
  <SendPC %1%>
  <Run %2%>
  <RenameTargetWin %3%>
  <RemoveWinFrame>

//-----------------------------------------------------------
// SUBROUTINE TO Position Windows for five boxing.
//-----------------------------------------------------------
<Command ResizeAndPosition>
    <SendPC Local>
    <SendWinM %1%>
    <SetWinRect 0 0 1920 1080>
    <SendWinM %2%>
    <SetWinRect 1920 0 960 540>
    <SendWinM %3%>
    <SetWinRect 2880 0 960 540>
    <SendWinM %4%>
    <SetWinRect 1920 540 960 540>
    <SendWinM %5%>
    <SetWinRect 2880 540 960 540>

//-----------------------------------------------------------
// HOTKEY TO LAUNCH AND RENAME FIVE WOW'S.
//-----------------------------------------------------------
<Hotkey ScrollLockOn Alt Ctrl L>
    <LaunchAndRename Local "C:\Users\Public\Games\World of Warcraft 1\Wow.exe" WoW1>
    <LaunchAndRename Local "C:\Users\Public\Games\World of Warcraft 2\Wow.exe" WoW2>
    <LaunchAndRename Local "C:\Users\Public\Games\World of Warcraft 3\Wow.exe" WoW3>
    <LaunchAndRename Local "C:\Users\Public\Games\World of Warcraft 4\Wow.exe" WoW4>
    <LaunchAndRename Local "C:\Users\Public\Games\World of Warcraft 5\Wow.exe" WoW5>
    <ResizeAndPosition WoW1 WoW2 WoW3 WoW4 WoW5>

//-----------------------------------------------------------
// DEFINE MAIL LABELS FOR SENDING KEY STROKES
//-----------------------------------------------------------
<Label w1 Local SendWinM WoW1>
<Label w2 Local SendWinM WoW2>
<Label w3 Local SendWinM WoW3>
<Label w4 Local SendWinM WoW4>
<Label w5 Local SendWinM WoW5>

//-----------------------------------------------------------
// Main hotkey that handles most utility buttons.
// Duplicated to send Ctrl, Alt, Shift as well.
//-----------------------------------------------------------
<Hotkey ScrollLockOn A-Z, Oem3, Minus, Plus, F1-F12, Numpad6-Numpad9 except T, W, A, S, D, X, Q, E, F; ScrollLockOn Ctrl A-Z, Oem3, Minus, Plus except W, A, S, D, X, Q, E, F; ScrollLockOn Alt A-Z, Oem3, 0-9, Minus, Plus except W, A, S, D, X, Q, E, F; ScrollLockOn Shift A-Z, 0-9, Oem3, Minus, Plus except W, A, S, D, X, Q, E, F>
<SendLabel w1, w2, w3, w4, w5>
<Key %Trigger%>


//-----------------------------------------------------------
// Hotkey that presses an assist macro along with the main
// actionbar keypress to make slaves target the master's
// target. Also has interact with target (bound to T) with
// an assist for easy NPC interaction. The master does
// not assist itself as it makes it hard to switch
// targets while pressing these keys
//-----------------------------------------------------------
<HotKey ScrollLockOn 0, 2, 3, 5-9, T>
<If ActiveWinIs WoW1>
    <SendLabel w2, w3, w4, w5>
    <Key Ctrl 1>
    <Key %Trigger%>
    <SendLabel w1>
    <Key %Trigger%>
<Else If ActiveWinIs WoW2>
    <SendLabel w1, w3, w4, w5>
    <Key Ctrl 2>
    <Key %Trigger%>
    <SendLabel w2>
    <Key %Trigger%>
<Else If ActiveWinIs WoW3>
    <SendLabel w1, w2, w4, w5>
    <Key Ctrl 3>
    <Key %Trigger%>
    <SendLabel w3>
    <Key %Trigger%>
<Else If ActiveWinIs WoW4>
    <SendLabel w1, w2, w3, w5>
    <Key Ctrl 4>
    <Key %Trigger%>
    <SendLabel w4>
    <Key %Trigger%>
<Else If ActiveWinIs WoW5>
    <SendLabel w1, w2, w3, w4>
    <Key Ctrl 5>
    <Key %Trigger%>
    <SendLabel w5>
    <Key %Trigger%>

//-----------------------------------------------------------
// Hotkey that toggles between Frost Nova's on each character
// rather than all at once.
//-----------------------------------------------------------
<HotKey ScrollLockOn 1>
    <Toggle>
        <SendLabel w1>
        <Key 1>
    <Toggle>
        <SendLabel w2>
        <Key 1>
    <Toggle>
        <SendLabel w3>
        <Key 1>
    <Toggle>
        <SendLabel w4>
        <Key 1>
    <Toggle>
        <SendLabel w5>
        <Key 1>

//-----------------------------------------------------------
// Hotkey that toggles between Cone of Cold on each character
// rather than all at once.
//-----------------------------------------------------------
<HotKey ScrollLockOn 4>
    <Toggle>
        <SendLabel w1>
        <Key 4>
    <Toggle>
        <SendLabel w2>
        <Key 4>
    <Toggle>
        <SendLabel w3>
        <Key 4>
    <Toggle>
        <SendLabel w4>
        <Key 4>
    <Toggle>
        <SendLabel w5>
        <Key 4>

//-----------------------------------------------------------
// Hotkeys for setting focus for polymorph
//-----------------------------------------------------------
<HotKey ScrollLockOn Numpad1>
<If ActiveWinIs WoW1>
    <SendLabel w1>
    <Key Ctrl 1>
    <Key %Trigger%>
<Else If ActiveWinIs WoW2>
    <SendLabel w1>
    <Key Ctrl 2>
    <Key %Trigger%>
<Else If ActiveWinIs WoW3>
    <SendLabel w1>
    <Key Ctrl 3>
    <Key %Trigger%>
<Else If ActiveWinIs WoW4>
    <SendLabel w1>
    <Key Ctrl 4>
    <Key %Trigger%>
<Else If ActiveWinIs WoW5>
    <SendLabel w1>
    <Key Ctrl 5>
    <Key %Trigger%>

<HotKey ScrollLockOn Numpad2>
<If ActiveWinIs WoW1>
    <SendLabel w2>
    <Key Ctrl 1>
    <Key %Trigger%>
<Else If ActiveWinIs WoW2>
    <SendLabel w2>
    <Key Ctrl 2>
    <Key %Trigger%>
<Else If ActiveWinIs WoW3>
    <SendLabel w2>
    <Key Ctrl 3>
    <Key %Trigger%>
<Else If ActiveWinIs WoW4>
    <SendLabel w2>
    <Key Ctrl 4>
    <Key %Trigger%>
<Else If ActiveWinIs WoW5>
    <SendLabel w2>
    <Key Ctrl 5>
    <Key %Trigger%>

<HotKey ScrollLockOn Numpad3>
<If ActiveWinIs WoW1>
    <SendLabel w3>
    <Key Ctrl 1>
    <Key %Trigger%>
<Else If ActiveWinIs WoW2>
    <SendLabel w3>
    <Key Ctrl 2>
    <Key %Trigger%>
<Else If ActiveWinIs WoW3>
    <SendLabel w3>
    <Key Ctrl 3>
    <Key %Trigger%>
<Else If ActiveWinIs WoW4>
    <SendLabel w3>
    <Key Ctrl 4>
    <Key %Trigger%>
<Else If ActiveWinIs WoW5>
    <SendLabel w3>
    <Key Ctrl 5>
    <Key %Trigger%>

<HotKey ScrollLockOn Numpad4>
<If ActiveWinIs WoW1>
    <SendLabel w4>
    <Key Ctrl 1>
    <Key %Trigger%>
<Else If ActiveWinIs WoW2>
    <SendLabel w4>
    <Key Ctrl 2>
    <Key %Trigger%>
<Else If ActiveWinIs WoW3>
    <SendLabel w4>
    <Key Ctrl 3>
    <Key %Trigger%>
<Else If ActiveWinIs WoW4>
    <SendLabel w4>
    <Key Ctrl 4>
    <Key %Trigger%>
<Else If ActiveWinIs WoW5>
    <SendLabel w4>
    <Key Ctrl 5>
    <Key %Trigger%>

<HotKey ScrollLockOn Numpad5>
<If ActiveWinIs WoW1>
    <SendLabel w5>
    <Key Ctrl 1>
    <Key %Trigger%>
<Else If ActiveWinIs WoW2>
    <SendLabel w5>
    <Key Ctrl 2>
    <Key %Trigger%>
<Else If ActiveWinIs WoW3>
    <SendLabel w5>
    <Key Ctrl 3>
    <Key %Trigger%>
<Else If ActiveWinIs WoW4>
    <SendLabel w5>
    <Key Ctrl 4>
    <Key %Trigger%>
<Else If ActiveWinIs WoW5>
    <SendLabel w5>
    <Key Ctrl 5>
    <Key %Trigger%>

//-----------------------------------------------------------
// Hotkey that switches main window
//-----------------------------------------------------------
<Hotkey ScrollLockOn Ctrl F1>
    <ResizeAndPosition WoW1 WoW2 WoW3 WoW4 WoW5>
<Hotkey ScrollLockOn Ctrl F2>
    <ResizeAndPosition WoW2 WoW1 WoW3 WoW4 WoW5>
<Hotkey ScrollLockOn Ctrl F3>
    <ResizeAndPosition WoW3 WoW2 WoW1 WoW4 WoW5>
<Hotkey ScrollLockOn Ctrl F4>
    <ResizeAndPosition WoW4 WoW2 WoW3 WoW1 WoW5>
<Hotkey ScrollLockOn Ctrl F5>
    <ResizeAndPosition WoW5 WoW2 WoW3 WoW4 WoW1>

//-----------------------------------------------------------
// Hotkey to have only slaves follow master. Mostly to
// prevent spinning in circles when the master tries
// to follow itself in a vehicle
//-----------------------------------------------------------
<HotKey ScrollLockOn F>
<If ActiveWinIs WoW1>
    <SendLabel w2, w3, w4, w5>
    <Key Ctrl 6>
<Else If ActiveWinIs WoW2>
    <SendLabel w1, w3, w4, w5>
    <Key Ctrl 7>
<Else If ActiveWinIs WoW3>
    <SendLabel w1, w2, w4, w5>
    <Key Ctrl 8>
<Else If ActiveWinIs WoW4>
    <SendLabel w1, w2, w3, w5>
    <Key Ctrl 9>
<Else If ActiveWinIs WoW5>
    <SendLabel w1, w2, w3, w4>
    <Key Ctrl 0>

//-----------------------------------------------------------
// Hotkey for jumping and ascending/descending while flying
//-----------------------------------------------------------
<MovementHotKey ScrollLockOn Space, X>
<SendLabel w1, w2, w3, w4, w5>
<Key %Trigger%>

//-----------------------------------------------------------
// Hotkey to strafe/move slaves independently from master.
// needs to be updated. not really needed without a tank
//-----------------------------------------------------------
<MovementHotKey ScrollLockOn up, down, left, right, Q, E>
<If ActiveWinIs WoW1>
    <SendLabel w2, w3, w4, w5>
    <Key %Trigger%>
<Else If ActiveWinIs WoW2>
    <SendLabel w1, w3, w4, w5>
    <Key %Trigger%>
<Else If ActiveWinIs WoW3>
    <SendLabel w1, w2, w4, w5>
    <Key %Trigger%>
<Else If ActiveWinIs WoW4>
    <SendLabel w1, w2, w3, w5>
    <Key %Trigger%>
<Else If ActiveWinIs WoW5>
    <SendLabel w1, w2, w3, w4>
    <Key %Trigger%>

//-----------------------------------------------------------
// Mouse broadcasting hotkeys
//-----------------------------------------------------------
<Hotkey ScrollLockOn Ctrl LButton>
    <SendLabel w5, w4, w3, w2, w1>
        <ClickMouse LButton>

<Hotkey ScrollLockOn Ctrl RButton>
    <SendLabel w5, w4, w3, w2, w1>
        <ClickMouse RButton>