Ok so I went through the book "Beginning DirectX 9" By...Wendy Jones I think it was or something to that effect. But now I'm wondering, ok...I know how to make a DX world render 3d models. Now my question is, where to go from here? I want to apply what I know to make a very small 3d fps shooter. I have "Programming a Multiplayer FPS in DirectX" book, but it seems to be in-depth by jumping into an engine and stuff which really I don't think is a wise thing for me to try since I most likely just get frustrated with it. Any ideas? I would love book recommendations and tutorials (if there are any tutorials on it worth mentioning).

Try making a model viewer that can show a mesh file in different positions and using different effects. Then try to get it supporting animations. Once you've got that working you can try making something that can load several meshes at once and then finally so can start converting that into an engine and add a camera and collision detection and stuff.

Try building a device like this:
http://www.toymaker.info/Games/html/load_x_hierarchy.html
There's some more on heirarchical meshes here:
http://www.gamedev.net/reference/articles/article2079.asp

You can get a few x files here:
http://xoomer.alice.it/glabro1/index.html
Or make your own with Blender:
http://www.blender3d.org/cms/Home.2.0.html

EDIT: Yeah, the Reimers site that Ufinii mentioned has some really good tutorials. Hazy Mind is quite good as well if you're using C#: http://www.thehazymind.com/3DEngine.htm