Just repair the install or search for the specific .DLL
Since directX9.0c there have been funky things happening with installs. I wound up with almost the same file on my fresh install of winxp sp2 and directX9.0c(4.09.0000.0904)
The miisng file was d3dx9_33.dll
Even the repair didn't fix it. I then uninstalled directX completely and tried a more recent release. Again No Joy. I figured perhaps it was part of the SDK so I installed that. still missing. Finally I just searched for the DLL on google, and everything has been fine since.