did you link to the include and library folder?
In visual studio 2005 you go to tools>options>projects and solutions>vc++directories
then in the top right change where it says show directories for:
open the pull down menu and choose include and add the following to the list:
(this is where i installed the SDK if yours is in a different place link to that.)
C:\Program Files\Microsoft DirectX SDK (August 2006)\Include
then do as before open the pull down menu and choose libraries now and add the following and again if you installed in a different location change accordingly.
C:\Program Files\Microsoft DirectX SDK (August 2006)\Lib\x86
That will now give you access to all the directx headers and library files to use then you do:
#include "D3DX9.h"
or something along those lines to access the direct 9 header files. I haven't programmed using Directx yet but plan to do so soon I'm using OpenGL at the moment hope this has been of some help