The game installs and runs just fine (I'm using the CD edition of Unreal Gold), and I have no problem setting it to Direct3D and fullscreen. However, two things to note. First, in Direct3D, the bit depth cannot be set to 32; it will cause a "general protection fault" with a crash to desktop. The game looks okay in 16-bit, though. Second, the game actually runs way to fast, too fast to play, in my opinion. And the game speed setting in the preferences does not appear to do anything. Of course, depending on your system, you may or may not have this problem.
UPDATE:
Should've read the tips & tricks first. After installing the unofficial update from http://www.oldunreal.com/downloads.html the game now looks great in 32-bit with DX9 support. Speed limiting now works as well. The game is near flawless, as far as I can tell. The only issue I have with the patch is that it disables the "Return to Na Pali" expansion that came with my copy of Unreal Gold. Since I've never played it and was really looking forward to it, this is kind of an issue. It's supposed to be fixed in a future update, but I don't know how much work is still being done on this game, so I'm not holding my breath.