You can have multiple versions of directX installed at the same time. Many people were doing it in the Half Life 2/Steam installs when the Steam engine was first released. DX9 made things really pretty, but slowed down a lot of computers. One solution was to run off of DX8 (some where going all the way back to DX7). In Steam you had to add a modifier to the shortcut of the game, but that was because it was meant to run in DX9.
SH4 is meant to run off of DX9 as well (D3DX9_32.DLL), but Vista owners don't have this file (because they have DX10). You will be ok to install DX9c and have DX10 as well (seeing as how DX10 isn't even being used - except by the O/S, you should probably have DX9c anyway). But don't get me started on MicroSoft...
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