Install the latest version of Microsoft DirectX
Chances are, upgrading to the latest version of DirectX will fix the d3dx9_??.dll not found error. To do this go here:
(run dxsetup.exe after extracting this download to its own folder anywhere on your computer)
Check the installation directory
Assuming the latest DirectX version from Microsoft doesn't fix the d3dx9_??.dll error you're receiving, look for a DirectX installation program on your game and run it.
Uninstall the game or software program and then reinstall it again
Something might have happened to the files in the program that work with d3dx9_??.dll and a reinstall could do the trick.
Update the drivers for your video card
While it's not the most common solution, in some situations, updating the drivers for the video card in your computer could correct this DirectX issue.