ok im not sure just what is going on with this.
but i had the same problem and i copied d3dx9_39.dll
and searched google and found a download for it.
it was like the 3rd or 4th in that showed up.
i downloaded it and unzipped it and installed it and i had no more problems.
but it wasnt the directx website. but you can try this web site they have alot
of downloads and tutrials.
http://www.afterdawn.comhope it helps.