That sounds like an MGE issue, Mash doesn't use DirectX. Basically, you need to have downloaded and installed the latest DirectX re-distributable, check the first post in the http://www.gamesas.com/index.php?/topic/1080781-morrowind-graphics-extender-mge/.
Hrm... It did arise after trying out MGE, but the problem persists after MGE is closed. Thanks, I'll try what you said. Still, Morrowind freaks out when I try to start a new or saved game and crashes, so it's not like I'll be able to play any time soon.