This readme from the inkwar demo, explains it
This installer correctly installs a newer version of the D3DX library.
Note: you must have DirectX 9.0c installed already (anyone who has Windows XP SP2 will automatically have 9.0c).
D3DX is a set of library helper functions for developers that is part of the DirectX SDK (Software Development Kit). In February Microsoft changed this from being a statically linked file (.lib) to a dynamically linked file (.dll) (the reason being for security purposes).
The problem that has occured is that some developers did not include a DirectX installer with their products, normally for size reasons, and instead relied on everyone having the DirectX 9.0c runtime installed already. Now that Microsoft is releasing the D3DX library as a new dll every two months this assumption is no longer valid. This has left a lot of end users missing the correct files.
I have included these files in a installer created using the correct Microsoft utilities. This is the correct way of installing the files rather than simply downloading them individually and is also the only 'legal' way.
The three D3DX DLLs released so far are:
Hope this helps