d3dx9.h doesn't exist?

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Barrow Boy    138
I typed out a DirectX program into Visual C++ this evening and when I tried to compile it, it told me there was an error with this line...
#include <d3dx9.h>

...telling me that no such file exists. What's going on? Did I type it wrong or something?

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Lajnold    226
Have you installed the DirectX SDK?

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jpetrie    13104
You also need to have configured your IDE or build environment to know to look for include files in the DX SDK path.