could you at least tell me the name of it? Or where it is?

I found this file called dxdllreg and it looks like an installer but when I try to open it nothing happens! Is this the file I'm looking for?

Note: When I stayed in Korea for 2 weeks my Uncle let me borrow his laptop and as soon as I had downloaded DX onto it the DxTex Tool worked perfect! Something wrong here?

One reason it may not be working is that if it requires the DX9.0b (summer update) SDK, and you have the DX9.0a (pre-summer update) SDK, you can't change to the debug runtimes. I wish Microsoft would do something about that, its burned me a few times.
What happens if you download the DX9.0a SDK, and then get the DX9.0b runtimes (retail) from Windows Update. Now you have the retail runtimes installed, and you can't change to the DX9.0a debug runtimes because it'd effectively be trying to install an older version of DirectX (which you can't do). Instead of telling you this, the installer just lets you believe its worked.
So, to get the debug runtimes, you need to download and install the DX9.0b SDK.

A way to check this is to try to install the debug runtimes, then goto Control Panel -> DirectX. If on the pages the debug output slider is disabled, you have the retail runtimes installed, so the swap to debug didn't work.

Of course i could be completely wrong :P

I also had the exact same issue. I had the pre summer 2003 version of the DirectX SDK and had all sorts of problems. The same as you with the texture tool and I had no DirectX control panel icon (using Win 2K).

Get the Summer 2003 SDK here - that fixed everything for me.