There is a better way of dealing with this problem that I came up with. (and incedentally it comes up if you're using Vista with DX10 as well)
The workaround?
http://www.dll-files.com/dllindex/dl...shtml?d3dx9_32
Go there. Download the D3dx9.dll file and copy it into your Windows\System folder.
It will now work.