Can't help you with that queue stuff (network ?), but as it looks the loop will continue without rendering (TryTake probably returns false after the last image). Is listening ever set to false anywhere ?
Yep, the DX SDK is now part of the Windows Kit. I still recommend installing the DX 2010 June SDK for convenience (especially for D3D9).
Edit: Slowing down ? Sounds like a leak. Check that. Lucky guess: TextureData is a stream, you likely need to dispose it manually (e.g. after the surface loading).