I get 3 message pop ups along with the game closing and I am so lost I got this a new computer and I am wondering as to why this happened

Download and install DirectX - https://www.microsoft.com/en-us/download/details.aspx?id=8109

Just for good measure, I would get all these too:
https://learn.microsoft.com/en-us/cpp/windows/latest-supported-vc-redist?view=msvc-170

Since they have the same file name. Download one at a time. Create one folder with what it is and two folders inside of that to place both x86 and 64bit versions. Never know what will be needed for old games.

Directx is fine, but these files are almost always used in old games.

It gave me this message after i downloaded

If the problem persists, also run the DirectX web installer.

Source: DirectX file not found (d3dx9_43.dll etc.) - GOG Support Center

when I tried clicking the DXSETUP.exe file it showed me this message

Where exactly is it you are attempting to run it from? Your machine could be bumping into UAC or your pc has some other problem. Its pretty straight forward to run these.

You may have to run the setup file as administrator:

1. Right-click on DXSETUP.EXE and select "Run as Administrator".

2. Enter your computer's admin password to start the install.

I am running it on a inspirion 14 5441 laptop

Ended up working only problem is it keeps crashing

It's your laptop, as it is using an ARM64 CPU and a Snapdragon GPU.

There is some info regarding ARM use for gaming here.

https://devblogs.microsoft.com/directx/step-forward-for-gaming-on-arm-devices-2024/

Oh ok, so you are not even using a x86-based PC...

All bets are off. I am kinda interested in hearing though whether you are able to run GOG games on a Snapdragon-based Windows machine...

Submarine has a screen door.......